Offhand I would say no, this isn't a good practice in a file-based data environment like VFP.
What is your use case that requires this?
Assuming you really have a need for this, this would be a reason to de-normalize your data, so to carry those fields in the table that needs the index. Consider doing that instead, especially if your data is static. Another option is to use an indexed view. I'd say that either denormalization or an indexed view is better (much more reliable) than what you suggest.
**--** Steve
> Is it ok to index on fields in other tables. I need to create many such indexes with a combination of fields from table1 and table2.
> It is working but is it safe and reliable?