I have same tought... But:
1. manually moving about a half of users indexes one by one is painful and slow
2. it happens regulary that users are moved between SG and of course servers. I will have a mess in no time.
3. think on future, upgradnig to Exch 2013 and DAGs... There will be even greater mess with DAG archiving.
So the best way for me is to separate indexes to dedicated server... Only question now I have is either I prepare a new server for indexing and move all indexes to it or simply use a new server for archiving and provisioning tasks and the old one just downgrade for indexing. Since I use aliases for EV site and EV organization I think that there will be no significant impact if I use a new server for archiving and retriving. Should I also use it for searching?