Indexing list of cuda tensors gives error - "can't convert cuda:0 device type tensor to numpy"

I am having a list of cuda tensors:

>>> X_train
[tensor([  101,  3533...='cuda:0'), tensor([  101,  3422...='cuda:0'), tensor([  101,  2054...='cuda:0'), tensor([ 101, 1019, ...='cuda:0'), tensor([  101, 14674...='cuda:0'), tensor([  101,  9246...='cuda:0'), tensor([  101,  2054...='cuda:0'), tensor([  101,  2339...='cuda:0), ... ]

I am trying to apply k-fold cross validation. So I want to index this list using list of k-fold indices:

>>> X_train[train_index]

But it gives me error:

TypeError: only integer scalar arrays can be converted to a scalar index

As per this answer, the issue is that I cannot index list using list of indices. It is allowed in numpy.

So I tried to convert it to numpy:

np.array(X_train)

But it gave me error:

TypeError: can't convert cuda:0 device type tensor to numpy. Use Tensor.cpu() to copy the tensor to host memory first. 

Do I really have to move these individual cuda tensors to cpu before indexing? How can I easily index this list of cuda tensors while keeping them on cuda (to utilize GPU for training model)? Or its not possible and I should first index them (by first forming them as numpy array) and then move the indexed ones to cuda? Is there any stadard / preferrable practice followed to handle the data?