I had originnally posted the question of including bookmarks in an Infragistics Report (.igr file) (http://es.infragistics.com/community/forums/t/73827.aspx).   According to my response, this cannot be done in the designer with the .igr file.

I was, however, able to do a bit of research and explore adding it programatically.  Props to Sung Kim for getting me there.

Refer to this link to build a PDF/XPS programmatically. (http://es.infragistics.com/products/aspnet/sample/infragistics-documents/export-to-pdf-or-xps)

Then, simply add levels to your Report object (for as deep as you want to go):

report.Bookmarks.AddLevel();

and create an IText object, add it to the report section, and set the Heading property:

IText bookmark;
bookmark = reportSection.AddText();
bookmark.AddContent("Bookmark Text");
bookmark.Heading = TextHeading.H1;

Reference: http://es.infragistics.com/community/forums/t/29171.aspx