The accepted answer of how to create an Index inline a Table creation script did not work for me. This did:
CREATE TABLE [dbo].[TableToBeCreated]
(
[Id] BIGINT IDENTITY(1, 1) NOT NULL PRIMARY KEY
,[ForeignKeyId] BIGINT NOT NULL
,CONSTRAINT [FK_TableToBeCreated_ForeignKeyId_OtherTable_Id] FOREIGN KEY ([ForeignKeyId]) REFERENCES [dbo].[OtherTable]([Id])
,INDEX [IX_TableToBeCreated_ForeignKeyId] NONCLUSTERED ([ForeignKeyId])
)
Remember, Foreign Keys do not create Indexes, so it is good practice to index them as you will more than likely be joining on them.