If you go into the dialog to Customize the Keyboard and press Ctrl+O it will show you the current assignment. Just type the shortcut into the box and it will show you. Unfortunately, it will not show you where a macro is stored, though.

Here is my page on moving customizations:
Moving (Sharing) Customizations in Microsoft Word
It is a lot easier if you put as much as possible into separate Global Templates.

Here is an old but still very valid page on Organizing your Macros.
Organizing your macros by Beth Melton, Word MVP
Here is a newer one: Install/Employ VBA Procedures (Macros) by Greg Maxey

There is no way built into the User Interface in Word to transfer keyboard shortcuts. With the 32-bit version of Word, Chris Woodman created an Add-In that still works for that. You can download it from my downloads page or from his site.
Chris Woodman's Keyboard Shortcut Organizer
As was mentioned earlier, you want to have the shortcut stored in the same template (or document) that holds the macro.