title: Create multiindex from existing dataframe
body: <p>I've spent hours browsing everywhere now to try to create a multiindex from dataframe in pandas. This is the dataframe I have (posting excel sheet mockup. I do have this in pandas dataframe):</p>
  
  <p><a href="https://i.stack.imgur.com/g20QW.jpg" rel="noreferrer"><img src="https://i.stack.imgur.com/g20QW.jpg" alt="have"></a></p>
  
  <p>And this is what I want:</p>
  
  <p><a href="https://i.stack.imgur.com/DDMvm.jpg" rel="noreferrer"><img src="https://i.stack.imgur.com/DDMvm.jpg" alt="want"></a></p>
  
  <p>I have tried </p>
  
  <pre><code>newmulti = currentDataFrame.set_index(['user_id','account_num'])
  </code></pre>
  
  <p>But it returns a dataframe, not a multiindex. Also, I could not figure out how to make 'user_id' level 0 and 'account_num' level 1. I think this must be trivial but I've read so many posts, tutorials, etc. and still could not figure it out. Partly because I'm a very visual person and most posts are not. Please help!</p>