[dba-SQLServer] Placing indexes in a specific file

I believe I have seen references to placing indexes in a specific file for
SQL Server in order to speed up the database.  Does anyone know how this
might be accomplished (if possible)?  For my nVLDB I now have 685 gb of data
in 4 files, each file on a dedicated hard drive, i.e. nothing on that drive
except that one database file.  I also have a dedicated drive for the log
file.  I am reaching the point where I need to add a couple of more drives
(and files) because I will run out of room in a few weeks.  It seems like
now might be the time to figure out the index file thing if it is possible.

John W. Colby
www.ColbyConsulting.com 

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