Sub Demo()
Dim Shp As Shape, Rng As Range
Set Rng = Selection.Range
Selection.Copy
Selection.Collapse
Set Shp = ActiveDocument.Shapes.AddCallout(Type:=msoCalloutOne, _
        Left:=100, Top:=40, Width:=150, Height:=75)
With Shp.TextFrame.TextRange
  .PasteAndFormat (wdFormatOriginalFormatting)
  .Style = "MyStyle"
End With
With Shp
  .Anchor.Cut
  Selection.Paste
  .WrapFormat.Type = wdWrapSquare
  .RelativeVerticalPosition = wdRelativeVerticalPositionParagraph
  .Top = 0
End With
Rng.Select
End Sub