The paragraph numbering is already setup with the multi-level list numbering. Auto Text is used to populate "Step x" as the user begins to type "Step" and then simply presses enter. Of course, not sure what process will work best, so experimenting with different methods. I also have to cross-reference to other paragraphs, so I will use the built in cross-reference to paragraph numbers.

Create Sequence Fields for Interrogatories and More

After the document is written by the user, I plan to have a customized ribbon for the user to create the bookmarks. I played around with the "Caption" option, but it appears if you enter a "Caption" right after the paragraph numbering, the numbering is removed in place of the caption. The Auto Text seems a better option.

Thanks Graham, this work great.