I know that SQLite implementation is still marked as "Experimental" (and I'm glad it's implemented at all) but I would just like to report that the index syntax is incorrect.
eg.
Unique Multi column index
Heidisql
ALTER TABLE "table" ADD UNIQUE INDEX "my_index" ("col_1", "col_2", "col_3");
SQLite
CREATE UNIQUE INDEX my_index on table (col_1, col_2, col_3);
Drop Index
Heidisql
ALTER TABLE "table" DROP INDEX "my_index";
SQLite
DROP INDEX "my_index"