Find foreign keys that don't have single-column indexes on them.

FKsWithoutIX.sql

SELECT
    *
FROM
    sys.foreign_keys fk
WHERE
    EXISTS
    (
        SELECT
            *
        FROM
            sys.foreign_key_columns fkc
        WHERE
            fkc.constraint_object_id = fk.object_id
        AND NOT EXISTS
        (
            SELECT
                *
            FROM
                sys.index_columns ic
            WHERE
                ic.object_id = fkc.parent_object_id
                AND ic.column_id = fkc.parent_column_id
                AND ic.index_column_id = fkc.constraint_column_id
                AND
                (
                    SELECT
                        COUNT(DISTINCT ic2.index_column_id)
                    FROM
                        sys.index_columns ic2
                    WHERE
                        ic2.object_id = ic.object_id
                        AND ic2.index_id = ic.index_id
                    GROUP BY
                        ic2.object_id,
                        ic2.index_id
                ) = 1
        )
    )
ORDER BY name

FKsWithoutIX_with_script.sql

SELECT
	tab.name AS [table_name],
	col.name as [column_name],
	'CREATE INDEX [IX_' + col.name + '] ON [' + tab.name + '] ([' + col.name + ']);' AS [script],
	fk.*,
	fkc.*
FROM
    sys.foreign_keys fk
INNER JOIN
	sys.foreign_key_columns fkc
	ON fkc.constraint_object_id = fk.object_id
INNER JOIN
	sys.tables tab
	ON fkc.parent_object_id = tab.object_id
INNER JOIN
	sys.columns col
	ON
		col.object_id = tab.object_id AND
		col.column_id = fkc.parent_column_id
WHERE
    EXISTS
    (
        SELECT
            *
        FROM
            sys.foreign_key_columns fkc
        WHERE
            fkc.constraint_object_id = fk.object_id
        AND NOT EXISTS
        (
            SELECT
                *
            FROM
                sys.index_columns ic
            WHERE
                ic.object_id = fkc.parent_object_id
                AND ic.column_id = fkc.parent_column_id
                AND ic.index_column_id = fkc.constraint_column_id
                AND
                (
                    SELECT
                        COUNT(DISTINCT ic2.index_column_id)
                    FROM
                        sys.index_columns ic2
                    WHERE
                        ic2.object_id = ic.object_id
                        AND ic2.index_id = ic.index_id
                    GROUP BY
                        ic2.object_id,
                        ic2.index_id
                ) = 1
        )
    )
ORDER BY name