TNA online index covers all men who received a Chelsea pension up to 1854 (regardless of regiment). I don't believe it includes men who received their pension from Kilmainham (men who finished their service in Ireland) but all out patient pensions were transfered to Chelsea by 1822, so only inpatient records remained with Kilmainham for soldiers actually living in the hospital (in patients - living at the Royal Hospital Kilmainham or the Royal Chelsea Hospital).
The online index was created because soldiers documents were filed by the War Office by regiment and then by soldier's names. This continued until 1872 when they were arranged alphabetically by name of soldiers within categories - cavalry, artillery, engineers, foot guards, infantry and miscellaneous.
After 1882 the documents were arranged in name order.
Most soldiers did not accrue enough service to receive a pension. The main way (providing you know their regiment) to track their army service is through the regimental quarterly pay books (the muster books).
East India Company records (see previous message) are held at The British Library - Indian Office Collection.http://www.bl.uk/collections/oiocfamilyhistory/family.html
They hold indexes for baptisms, marriages and burials in India.