Word 2007
I checked Word Options, Proofing, Autocorrect Options, Autoformat as you go, Hyphens with dash, OK.

But it does not work now.

It did work, on the same document. But when I point to it, the blue underline doesn't appear (to enable changing back to hyphen).



If I start a new document, it works OK.

Any ideas?

The problem in my case:
What followed the -- was not a word, but an abbreviation.
When I changed it to a recognized word, the automatic change occurred.