You have two options:
1) Transcode to a hardsub (preferably with a near lossless codec), then take the resulting hardsubbed video file and burn it to a DVD as normal. The subtitles will be permanently overlaid on top of the video, but this method may prove to be the least hassle.
2) Convert your idx/sub files to sup format, convert your video to mpeg, then demux the video and remux the streams to include the sup file, as per the instructions below on videohelp.com. The subtitles will remain as softsubs (you can turn it on/off from the DVD menu), but you will have to jump through more hoops, and if there are any sync problems, they will be very difficult to correct.
Code:
http://forum.videohelp.com/topic287606.html#1427969
