With the code you're using, the insertion point should show up in the footnote, not in "the page somewhere". Try:
Code:
Sub InsertFootnote()
ActiveDocument.Footnotes.Add Range:=Selection.Range
With Selection.Paragraphs.Last.Range
.Font.Reset
.Characters.Last.Previous.Text = ". " & vbTab
.Characters.Last.Previous.Select
End With
Selection.Collapse wdCollapseEnd
End Sub
Instead of starting each footnote with a tab character before the reference, you really should do a one-off modification of the 'Footnote Text' Style to give it a first-line indent.