I've just tested the steps you outlined above in XCode 3.2.3 and I could not reproduce that symptom. Renaming the build products path to "_build" properly moves all build-related files (and the .pbindex) to that location. I have also built with the different XCode-project compatibility options with the same results.
Thinking this might be a bug in XCode 3.2.2, I've read the changelog but no such symptom is reported, and I personally have not seen that before.
An option that might help (but it should NOT be necessary) is to set the Build Intermediate Files path (in the Info panel of the Project) to the "Build products location", but I presume you have already tried that. In my XCode, the only case where the .pbxindex files do get built in another location is when I force them to by choosing the "Custom location" in the same panel.
Is it possible that it's a simple oversight on your part and that you haven't removed the directory after the cleanup? If not, then some more information would be helpful:
- perform a clean build
- open up the debugger (CMD+Shift+B)
- from the toolbar, make sure you have toggled "All Results" under overview, "By Step", and "All Messages" from the last combobox
- right-click somewhere in the debug output, and choose the option "Open These Results as a Transcript File"
HTH