Is there a way to turn footnotes in a Word document into sidenotes (Say in the right-hand margin of the document)?

There is nothing built into Word to do this. It would be a manual process or use a macro and would never be automatic. Word is set up for endnotes and footnotes.

Are there any good downloadable books on how to write your own macros. I can do very simple ones only.

Not that I know.
Here are some resources:
Writing Word Macros: An Introduction to Programming Word using VBA: PhD Steven Roman
https://wordmvp.com/FAQs/MacrosVBA/index.htm
Installing Macros
VBA Code Examples (3)
Install/Employ VBA Procedures (Macros)

I do not want to throw cold water on your enthusiasm, but

1. You need a clear idea of how you would do this manually.
2. This is going to be a big project and you should realize that I doubt it will ever work very well.
3. Footnotes/endnotes are a component of Word. Anything you come up with will not give the same performance.
4. I cannot imagine a way to keep the linking that is currently there with footnotes and endnotes.

If you simply want to pull text to the side or a margin, look into using Text Boxes or Frames. Frames and Textboxes in Microsoft Word
Those can be anchored to a particular paragraph of text.

Also, would Comments work for what you want?

Converting footnotes into sidenotes would be far from a trivial undertaking (i.e. it's not something a novice should attempt - I would blanche at having to code such a thing) and doing so could make the document a nightmare to edit. Perhaps you could achieve the desired result using Word's Comment tool. Comments can be set up to appear in the right 'margin'; the downside is that the space for them is reserved even on pages that have no comments.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]

Thank you for the replies. I have decided against the "sidenotes" and will be sticking to footnotes.

I'm glad that Paul said bluntly what I was trying to say. I'm glad we talked you out of it.

Do take a look at the comment feature, though. It may do some things you want. At least comments do link back to the text.

Peter Kahrel offers a script for this.

Without wanting to place too fine a point on it, that link is for InDesign; the discussion here concerns Word. They're two entirely different products produced by different companies...

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]

Oops. It came up in a Word search. Sorry.