• Macros and VBA (Visual Basic for Applications)"
• Writing Word Macros" by Steve Roman

As Stefan pointed out, there are things the macro recorder does not record. Once you learn how, writing them instead of recording, will give better macros.

Note also that Word has some different tools that handle many of the tasks for which macros are used in other word processing programs.
Automated Boilerplate Using Microsoft Word

Much automatic formatting is handled through Styles.
Understanding Styles in Microsoft Word