I suspect that somehow you have more than one Normal template; you open with one but are saving to another, so the changes don't show up when you open the document again.

try clicking on your file tab and selecting New, then My Templates. See if there is more than one template called normal there. (Normal.dotm is the default for Word 2010.) If so, open both and see which, of either, has the shortcuts. If one does, then it can become your new template; you can rename the other to something like NormalOld, if you're unsure about deleting it. If neither does, either you have saved a Normal template to another folder somewhere, or I think you're making an error in your shortcut saving procedure.

Hope this helps.
Best,
Ulodesk