arrTerms = Split("(\<italics\>)(*)(\<italics/\>)|(\<bold\>)(*)(\<bold/\>)|(\<indent\>)(*)(\<indent/\>)", "|")
  For lngIndex = 0 To UBound(arrTerms)
    Set wdRng = wdDoc.Range
    With wdRng.Find
      .Text = arrTerms(lngIndex)
      .MatchWildcards = True
      Select Case lngIndex
        Case 0: .Replacement.Font.Italic = True
        Case 1: .Replacement.Font.Bold = True
        Case 2: .Replacement.ParagraphFormat.LeftIndent = 72
      End Select
      .Replacement.Text = "\2"
      .Execute Replace:=wdReplaceAll
   End With
  Next

	
Code:
	
'So the first line you are creating a list/matrix 
with a single row and defining it as arr terms. I don't really 
get what the Split and the l or all the brackets and asterisks 
and backslashes are doing though.
arrTerms = Split("(\<italics\>)(*)(\<italics/\>)|(\<bold\>)(*)(\<bold/\>)|(\<indent\>)(*)(\<indent/\>)", "|")
'Creating a loop which is based on variable IngIndex 
running through as many times as there are items in the list 
For lngIndex = 0 To UBound(arrTerms)
' Setting Range as whole document?  
Set wdRng = wdDoc.Range
    With wdRng.Find
'Find the term from the list for example <italics>and I start to very lost 
      .Text = arrTerms(lngIndex)
'I assume this means it has to be exact match
      .MatchWildcards = True
'Have no idea what is going on here cause I can't work out where 
you have actually selected the text between the two terms 
that is <italics> and <italics/>
      Select Case lngIndex
        Case 0: .Replacement.Font.Italic = True
        Case 1: .Replacement.Font.Bold = True
        Case 2: .Replacement.ParagraphFormat.LeftIndent = 72
      End Select
'I believe this line deletes all the arrterms in the document 
but have no idea how or why or what "\2" is
      .Replacement.Text = "\2"
      .Execute Replace:=wdReplaceAll
   End With
"Goes to next in list
  Next