IDX are VobSub subs. You'll need to include those VobSub files in an MKV container - that's the only way of playing them back in AVPlayerHD, unless you OCR the subs / get them, altready OCR'ed, from elsewhere.
External VobSubs aren't played back, not even if you make sure they're named the same as the file you play back. You can't put these files in an MP4 (m4v / mov) file either - AVPlayerHD will just crash on trying to play it back.
I've made available the VobSub-formatted subs of Iron Sky at
https://dl.dropbox.com/u/81986513/012013/IronSkyMAIN-rip-finnishVobSubs.zip . If you try to play them back together with
https://dl.dropbox.com/u/81986513/082012/sublerSubs/IronSkyMAIN-rip.mkv (after removing the embedded BD subs from the file to make sure VLC is reading subs from the external files), you'll see the desktop VLC can render the subs but AVPlayer can't.
(More info (warning, highly technical article)
HERE.)