With the help of Remy Lebeau (one of the Indy crew), I was able to install the new Indy10 in Lazarus.
This installation process worked for Lazarus 0.9.31 FPC 2.4.3 SVN 30042 on Windows XP & Vista.
a) First download the most recent Indy10 version from
http://indy.fulgan.com/ZIP/b) Unzip the file
c) Go to the \Lib directory
d) Copy the *.pas, *.lrs and *.inc of the \System, \Core, and \Protocols subdirectories into a new directory of your choosing. Remy Lebeau said the source files must be in the SAME directory. Delphi does not have this constraint but hey, I'm not complaining.
e) Copy the indylaz.lpk in the main directory of the zip file to the directory you created in (d) above
(f) Start Lazarus & open the package file in (e) above
(g) In the package options dialog, add the path to the directory you created in (d) above to the "Unit" field
Mine looks like this "$(LazarusDir)\components_extra\Indy10_4620"
(h) Compile & install the package
(i) If all goes well; you'll have all 16 Indy tabs visible in the Lazarus IDE

In order to write & compile Indy10 applications, you need to put the path to the Indy directory in the "Other Unit files" textbox of every project that you write. You'll find "Other Unit files" under Project Options -> Compiler Options -> Paths.
For good measure, I kept the directory where I unpacked the old Indy 10.0.5 for Lazarus. That way even though I installed the new Indy10 in my IDE, I can still compile & run my old Indy 10.0.5 programs by entering the path to the old Indy 10.0.5 directory in the "Other Unit files" textbox.
I hope you'll find this helpful.
JD