\documentclass{scrartcl}
\usepackage[latin1]{inputenc}
\usepackage[T1]{fontenc}
\usepackage[ngerman]{babel}
\usepackage{makeidx}

\newcommand{\currsect}{}
\newcommand{\currsubsect}{}
\newcommand{\currsubsubsect}{}

\newcommand{\Section}[1]{%
\renewcommand{\currsect}{#1}%
\section{#1}{\index{#1}}%
}

\newcommand{\Subsection}[1]{%
\renewcommand{\currsubsect}{#1}%
\subsection{#1}{\index{\currsect!#1}}
}

\newcommand{\Subsubsection}[1]{%
\renewcommand{\currsubsubsect}{#1}%
\subsubsection{#1}{\index{\currsect!\currsubsect!#1}}%
}

\makeindex
\begin{document}

\Section{Hallo}

\Subsection{Welt}

\Subsubsection{Lorem}

\Subsubsection{Ipsum}

\Section{Foo}

\Subsection{Bar}

\Subsubsection{Blind}

\Subsubsection{Text}

\printindex
\end{document}