Hi Peter,
Word hasn't used Style Sheets since the dark ages (well, pre 1994, anyway). Nowadays, everything is based on Styles defined in the document's template and/or created in the document itself.
Some basic code to copy a pargraph, make a callout and paste the copied text into the callout is:
Code:
Dim Shp As Shape
Selection.Paragraphs.First.Range.Copy
Set Shp = ActiveDocument.Shapes.AddCallout(Type:=msoCalloutOne, _
Left:=100, Top:=40, Width:=150, Height:=75)
Shp.TextFrame.TextRange.PasteAndFormat (wdFormatOriginalFormatting)