Do not mess with AX tables, fields, views or indexes using SQL DDL. Because any updates done outside AX may be deleted when synchronizing.
Links:
Included columns in indexes are available in AX 2012, but not in AX 2009.
While creating indexes from an AX job is possible, it is not worth it, because you will have to manually consider each index.
Update:
Just to be clear, unlike other environments, indexes in AX are not done by writing scripts, they are done by manually adding or changing meta-data properties as described in the first link. The actual SQL database indexes are created when the table is synchronized which usually is done automatically when the meta-data are saved.