It appears that your children are still residing in Ohio with your ex-husband? If this is the case, your custody case does in fact have to remain in Ohio. Ohio will keep jurisdiction until no one (you, your ex, or the children) resides in Ohio.
You should check out Indiana Code 31-21-5-1 and it's other sections. But, generally, Indiana won't accept jurisdiction unless all parties no longer reside in the original state (except under emergencies under section 4).
Modification of a child custody determination made in another state
Sec. 3. Except as provided in section 4 of this chapter, an Indiana court may not modify a child custody determination made by a court of another state unless an Indiana court has jurisdiction to make an initial determination under section 1(a)(1) or 1(a)(2) of this chapter and:
(1) the court of the other state determines that:
(A) it no longer has exclusive, continuing jurisdiction under section 2 of this chapter; or
(B) an Indiana court would be a more convenient forum under section 8 of this chapter; or
(2) an Indiana court or a court of the other state determines that:
(A) the child;
(B) the child's parents; and
(C) any person acting as a parent;
do not presently reside in the other state.
Sign up to receive a 3-part series of useful information and advice about child custody law.