http://vector.tutsplus.com/tutorials/designing/quick-tip-how-to-make-running-headers-in-adobe-indesign/

There are running headers in dictionaries, telephone lists, catalogues, guides and many other publications that need to inform the first and last instance of a list of terms on each page. That quick and useful way of finding words can be made with InDesign in a simple way, by uniting text variables with paragraph and character styles. Let’s see how!