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Create a pyro.ist file in the same directory as your main file with the following contents: heading_prefix "\n\\noindent\\textbf{" heading_suffix "}\\par\\nopagebreak\n" headings_flag 1 and change the call to \makeindex to \makeindex[program=makeindex,options=-s pyro,columns=2,intoc=true] That's all. Your .ind file will look like \begin{theindex} ...


The solution by @Andrew Swann and @Ulrike Fischer (use \string to escape the backslash in expr) works fine, but requires repeated effort in all concerned footnotes or captions. Therefore the solution mentioned in the comment by @egreg, \usepackage{bigfoot} which solves the problem once and for all, appears preferable to me.


It is not so much a question of the @ construction, but of expansion of control sequences. A work around based on https://groups.google.com/forum/#!topic/comp.text.tex/_Hwo6Hapcng suggests providing a command we can use to protect the backslash in the index entry in the footnote via \def\indexprotect#1{\string#1}. As Ulrike Fischer points out \string is ...

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