As @tomharrington said, the solution is in the WWDC 2017 video: Indexing stuff begins at 10:32 and the demo at 16:40.
It’s still possible to create and index via Xcode9:
- First, select your entity, long-click on the + (Add Entity), and select Add Fetch Index.
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Then, name your index appropriately, the select the property you want to index on (and choose ascending or descending, depending on how is organized your data)
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Finally, as explained on the video, this will not trigger a migration and user that update your app will not get your index. If you want to force a model migration, add an Hash Modifier by selecting the entity, and setting Right Panel > 3rd tab > Versioning > Hash Modifier.