Hi Louisa,
Perhaps others have already answered you. The volumes feature is explained in chapter 24 of the User's Guide. I would definitely use that rather than typing them in manually. It is also possible to add the volume number at the end, say after you have finished volume 1, but then it becomes trickier to add it to the second volume. You would have to somehow group only on volume 2 or label and filter out volume 1. Easier to put them in at the beginning.
You can choose whether to merge volume numbers (enable that) so that the volume number only appears once in each entry, e.g. I:35-36, 58-62, 75; II:23, 42-44 rather than I:35-36, I:58-62, I:75; II:23, II:42-44.
I'll give you some other unsolicited advice (from my own experience).
Make subentries for everything in volume 1. When you finish that volume, save the index with another name and then you can edit out the unneeded subs. (This step is if volume 1 has a separate index. I reread your message now, and I guess there's only the cumulative index in vol. 2? I'd still make subs as I go.) The reason for this is that when you index volume 2, you might find that some of the same names and terms occur again from volume 1 and you will now need subentries. You've already done them in volume 1, so you don't have to go back and reread material to add the subs.
Another trick that I only learned too late for my purposes concerns the See also xrefs. I suggest that after each one you write in note text (Alt+Shft+O) the number of the volume. I guess in your case with only two volumes, you won't really need this, so you can file it away in your head for future jobs that have more volumes. I indexed three volumes of what is projected to be fifteen or more volumes. I worked in a master file for the cumulative index, but when I went to filter out the entries for volumes 2 and 3, I had a heck of a time with the See also xrefs because I had to check if any given term that was xref'd was mentioned in that particular volume. If I had had the note text there, it would have saved a lot of time and headache. (The project is on hold, but I hope to someday index the rest.) Again, I guess this doesn't matter for you if there's only the one, cumulative, index, but file it away for future use.
Happy indexing!
Ælfwine Mischler
Member, American Society for Indexing (ASI)