AFAIK, Chicago referencing does not provide for such superscripting. That said, you're wasting your time trying to do this in Word as Microsoft has never seen fit to implement Chicago referencing properly. Chicago has two referencing formats: 'Author-Date'; and 'Notes and Bibliography'. Microsoft provides only one 'Chicago' referencing format that matches neither of Chicago's formats.

And Chicago isn't the only one that hasn't been implemented correctly. You'll find adverse comments on various forums about Microsoft's implementation of APA, etc., too. Given that all it takes is for someone to do the xml coding for the citations & bibliographies correctly, one can only conclude no-one with any say in the matter at Microsoft really cares about the issue, which has been going on for over a decade now ...

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]