Sub Demo()
Dim myName As String, RngTmp As Range, Sctn As Section, HdFt As HeaderFooter
ChDir ActiveDocument.Path
myName = Dir("03*.doc*")
While myName <> ""
  With Selection
    Set RngTmp = .Range
    With RngTmp
      .Start = .Start - 1
      .End = .End + 1
    End With
    .InsertBreak Type:=wdSectionBreakNextPage
    .InsertFile FileName:="myName", ConfirmConversions:=False
    .InsertBreak Type:=wdSectionBreakNextPage
    With RngTmp
      For Each Sctn In .Sections
        With Sctn
          For Each HdFt In .Headers
            HdFt.LinkToPrevious = True
          Next HdFt
          For Each HdFt In .Footers
            HdFt.LinkToPrevious = True
          Next HdFt
        End With
      Next Sctn
    End With
  End With
  myName = Dir()
Wend
Set RngTmp = Nothing
End Sub