I think I've tried a dozen or so viewers. I've only found 3 viewers that allow you to make bookmarks:
The linux version of foxit, but it doesn't allow you to make indented bookmarks/child bookmarks so I discarded it.
master pdf editor: cross platform but not fully free. It can create intended bookmarks. Their website says the free version adds watermarks to output files, so after I added some bookmarks I expected the resulting file to have unsightly watermarks on every page. This was not the case, so maybe just adding bookmarks doesn't trigger the watermarks limitation.
And Pedro's suggestion: I downloaded jpdfbookmarks and it works well. The text selection mode is a bit... different, but I can get used to it.
What I haven't been able to do is use the clickable index to quickly go to where the chapters and different sections start.
Do you by chance know how to this Pedro?