Community:Considerations around merging indexes
From Splunk Wiki
When upgrading to 4.x, administrators may want to install parallel instances of Splunk. Specifically, a parallel installation of 3.x and 4.x. If you run an instance of 4.x that begins accepting live data, you will need to take special considerations if you want to migrate your old 3.x data to the new 4.x instance.
Specifically, you will need to merge indexes or you must put the old 3.x instance in an alternate index location. For more details on merging indexes, see the community wiki topic: http://www.splunk.com/base/Community:MoveIndexes