This is Exercise 4.29 of Roman's "Fundamentals of Group Theory: An Advanced Approach". According to Approach0, it is new to MSE.
The Details:
Definition: A subgroup $H\le G$ is characteristic in $G$, written $H\sqsubseteq G$, when, for all $\sigma\in {\rm Aut}(G)$, we have $\sigma(H)=H$ (or, equivalently, $\sigma(H)\le H$).
The Question:
Let $G$ be a finitely-generated group with $H\le G$ such that $[G:H]<\infty$. Then there exists $K\le H$ characteristic in $G$ with $[G:K]<\infty$.
Thoughts:
It is well-known that any finite index subgroup of a finitely-generated group is itself finitely-generated. Hence $H$ is finitely-generated. However, I don't recall this result in the book so far.
It might help to note that
$$[G:K]=[G:H][H:K]$$
as cardinal numbers, once we have found a candidate for $K$. This is proven early on in the book.
A special case is when $K=H$. All we need to prove there is that $K$ is characteristic in $G$. There's nothing to say, though, that equality is always possible.
I have asked a question here on characteristic subgroups before: An abelian, characteristically simple group is divisible (supposedly).
I have a few years of experience with combinatorial group theory, so, given that we're talking about finitely-generated groups, I feel as if I should be able to answer this; I guess my main difficulty is the property of being characteristic.
Please help :)