Insert Index Constituents allows a user to quickly add, via right click menu, the constituents of the selected index. Examples of such indices are $INDU, $TRAN, $UTIL, $COMP, $COMPQ, $NDX, $SOX. There are also approximately 40 TSX, and the NASDAQ indices which have this functionality.
To use this function right-click on the Index symbol and scroll down the menu to the command.