Sitemap Index file - what?

[httpwebwitch]

If you have a site with over 50,000 pages, you can't fit them all in one sitemap.xml file. So, you use a Site map index file.

Sitemap Indexes are described here:
[sitemaps.org...]

But... where do I put this index? is the index file stored as /sitemap.xml?

It just seems like the documentation leaves out some essential details.

Has anyone here ever built a site with one of these sitemap index files? As one of my sites is quickly approaching 50,000 pages, I'd like to figure this out.