Pig Latin converter in Python
You don't actually care about indexes during the iteration; you just want the contents. The loop would be better written as

sentence = input(…)
for word in sentence.split():
    if word[0] in "aeiou":
        …


How would you reassemble the results?  Noting that each word can be translated independently, I would define a function for that, then use a generator expression.

def pig_latin(word):
    if word[0] in "aeiou":
        return word + 'yay'
    else:
        return word[1:] + word[0] + 'ay'

sentence = input("Enter a sentence you want to convert to pig latin: ")
print(' '.join(pig_latin(word) for word in sentence.split()))