title: create multiindex from dataframe pandas
body: <p>I'm trying to create the multi-index dataframe from following dataframe:</p>
  
  <pre><code>               date_time                   session
                2015-07-30 10:32:54.000        1
                2015-07-30 10:32:54.000        1
                2015-07-30 10:36:39.000        1            
                2015-07-30 10:36:39.000        1
               ........................        1
                2015-07-30 11:58:57.000        2
                2015-07-30 12:18:37.000        2
                2015-07-30 12:28:51.000        2
  </code></pre>
  
  <p>to obtain smth like:</p>
  
  <pre><code>        date_time                   session
        2015-07-30 10:32:54.000        1
        2015-07-30 10:32:54.000        
        2015-07-30 10:36:39.000                   
        2015-07-30 10:36:39.000        
       ........................        
        2015-07-30 11:58:57.000        2
        2015-07-30 12:18:37.000        
        2015-07-30 12:28:51.000        
        .......................        3
  </code></pre>
  
  <p>guiding by the answers for this question:
  <a href="https://stackoverflow.com/questions/22214985/multiindex-group-by-in-pandas-data-frame">MultiIndex Group By in Pandas Data Frame</a></p>
  
  <p>I tried this code for my data:</p>
  
  <pre><code>def create_multi():
      multi=df.set_index(['session', 'date'], inplace=True)
      print multi
  </code></pre>
  
  <p>but it returns  <code>None</code>
  I don't know if this method is appropriate for what I need to do and I just use it not correctly, or I should use another method</p>