Converting footnotes into sidenotes would be far from a trivial undertaking (i.e. it's not something a novice should attempt - I would blanche at having to code such a thing) and doing so could make the document a nightmare to edit. Perhaps you could achieve the desired result using Word's Comment tool. Comments can be set up to appear in the right 'margin'; the downside is that the space for them is reserved even on pages that have no comments.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]