The simplest way is to use $S=1\mbox{--}2$. If you already have \usepackage{amsmath} in your document’s preamble, however, you’re better off using \text: $S=1\text{--}2$ because \text will adjust the size of the font when used in super- and subscripts: $S_{1\text{--}2}=0$.
An en dash used in math may easily be confused with a minus sign. You may want to look at other techniques for indicating a range such as ellipses (\ldots for dots on the baseline [used between commas], or \cdots for centered dots [used between centered operators such as plus signs]) or using the bracket notation. Some examples:
$S = \{1, 2, \ldots, n\}$ indicates an element in the set containing integers between 1 and $n$.
$S = [0, 1]$ indicates a real number between 0 and 1 (inclusive).