Two ways:

Simple way - put it in a template (create a template based on you document with the style in it if you wish). You do this by using SaveAs and saving as a template, not by renaming the document with a different extension in Windows.

See Templates in Microsoft Word. Note: you do not want to use this template to replace your normal template. You could have the style in your normal template if you want.

Then, when you want this style set, create a new document based on the template. This is much cleaner and less risky than using SaveAs from a document every time. This method is working with Word and its tools to achieve your result rather than working around them or against them.

More difficult way - create a stylesheet Add-In. See A Global StyleSheet in Microsoft Word? I use this method for styles I want to import into a number of different documents on an add-hoc and sometimes after-the-fact basis. This requires macros and a solid understanding of how your styles work together.