Hyperlinking internal references in InDesign has always been a bit of work, particularly if you have the fitness of an ebook in mind. The Insert Cross References features is one way to do it, but it is laborious and the links are only one-way in the ebook. This is also just not an option for something like a books index.
LiveIndex (www.id-extras.com/products/li...) is a paid script that helps with the process. And it works really nicely. Activated from the scripts panel, it has a series of options, and even allows you to ask it to hyperlink everything with a specific character style - which is helpful for roman numerals.