Assuming this is an accurate reflection of your document and the numbers are outline numbers and not text then
Code:
Sub Macro1()
'Graham Mayor - http://www.gmayor.com - Last updated - 22 Sep 2018
Dim oPara As Range
Dim iCount As Integer: iCount = 1
Dim iPara As Integer
For iPara = 1 To ActiveDocument.Paragraphs.Count
If ActiveDocument.Paragraphs(iPara).Range.Words(1) Like "Step*" Then
Set oPara = ActiveDocument.Paragraphs(iPara).Range.Words(1)
oPara.Bookmarks.Add "Step" & iCount
iCount = iCount + 1
End If
Next iPara
lbl_Exit:
Set oPara = Nothing
Exit Sub
End Sub