+1 to Don's comment. You will need to create the index either using the REST API or the .NET SDK. If you happen to be using PowerShell to create the service, you might find the following code helpful which calls the REST API using Invoke-RestMethod and a set of .JSON files that contain the schema for the index and some documents.
$headers = New-Object "System.Collections.Generic.Dictionary[[String],[String]]"
$headers.Add("Content-Type", 'application/json')
$headers.Add("api-key", $searchApiKey)
Write-Host
Write-Host "Creating Index..."
$schemaFile = "$(Split-Path $MyInvocation.MyCommand.Path)\zipcodes.schema"
$response = Invoke-RestMethod -TimeoutSec 10000 $searchServiceUrl"/indexes/zipcodes2?api-version=2015-02-28-Preview" -Method Put -Headers $headers -Body "$(get-content $schemaFile)"
Write-Host $response
$jsonFile = "$(Split-Path $MyInvocation.MyCommand.Path)\zipcodes1.json"
Write-Host
Write-Host "Adding Documents from $jsonFile..."
$response = Invoke-RestMethod -TimeoutSec 10000 $searchServiceUrl"/indexes/zipcodes2/docs/index?api-version=2015-02-28-Preview" -Method Post -Headers $headers -Body "$(get-content $jsonFile)"
Write-Host $response