Thank you very much, macropod!
For those whose are interested, the final result is this:
Code:
Sub Demo 2 ( )
Application.ScreenUpdating = False
With ActiveDocument.Range.Find
.ClearFormatting
.Replacement.ClearFormatting
.Format = True
.Forward = True
.MatchWildcards = True
.Wrap = wdFindContinue
.Replacement.Text = "\1"
.Text = "\*\*([!\*]@)\*\*"
.Replacement.Font.Bold = True
.Execute Replace:=wdReplaceAll
.Replacement.ClearFormatting
.Text = "\__(*)\__"
.Replacement.Font.Italic = True
.Execute Replace:=wdReplaceAll
End With
Application.ScreenUpdating = True
End Sub