Nowdays, Word has two different ways to create 'form fields'. If you use the legacy form fields then the save form data option should work.
If you use the content controls for your form fields then you will need to link these to an xml field and its a whole lot more complicated. Greg Maxey has produced a tool that greatly assists in doing it this way.
http://gregmaxey.com/word_tip_pages/...ols_addin.html