One wonders why you'd record a macro for such a simple thing. That said, try:
Code:
Sub Demo()
Options.DefaultHighlightColorIndex = wdYellow
With ActiveDocument.Range.Find
.ClearFormatting
.Replacement.Highlight = True
.Font.Superscript = True
.Replacement.Text = "^&"
.Forward = True
.Wrap = wdFindContinue
.Format = True
.Execute Replace:=wdReplaceAll
End With
End Sub