Conditionally add an index to a temp table
This is somewhat subjective but I'm not at all a fan of SELECT ... INTO anyway and normally replace it with an explicit CREATE TABLE and INSERT ... SELECT as the datatypes, column names, and nullability can then be seen much more explicitly (and both can be minimally logged).

In this case if you were to create the temp table with an unnamed primary key constraint on the column up front 

CREATE TABLE #temptable
(
PKColumn INT PRIMARY KEY
)


rather than creating the table and adding an index afterwards you would be able to benefit (at least potentially as that does have some issues) from temp table object caching.

I wouldn't bother making it conditional on row count unless you've proved that the presence of the index with few rows somehow makes a significant deterioration in performance (unlikely).