@macropod
Thanks for answer, but this Word's object model doesn't fit my mind. It's highly non-intuitive.
I add paragraph with Paragraphs.Add(). Then I have these two options to obtain reference to newly created paragraph: 1) with Set p = .... and 2) Paragraphs(Paragraphs.Count). But in reality they are two different objects! Why?

Word's object model is quite logical, actually. Your code defines a range [via Set p = .Paragraphs.Add()], which can't be outside the range defined by the document's final paragraph break (otherwise it wouldn't be part of the document), so it has to occur before that, then replaces whatever's in that range with something else [via p.Range.Text = "par3"]. You can confirm that's what happening be changing 'p.Range.Text = "par3"' to 'p.Range.Font.ColorIndex = wdRed'. I suspect the problem you're having is a conceptual one, rather than anything to do with Word's object model.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]