How Do We Index Address

So (LDA, X) means you jump to the address but if 2 is the current value in the X register, then you go to that address +2.

You're on the right track.
Maybe I'm taking you to literally but LDA does not jump. LDA (load accumulator) loads the A register with a value.
So LDA $0000,X loads the binary value at address $0000+X (as you said) but puts the value into the A register and does not jump.