Chris, you are a glutton for punishment! Microsoft did away with marching ants because of complaints from its corporate clients. They could be activated up until Word 2013 using macros, but were then killed. More on this can be found here: Animated Text Effects in Ribbon Versions of Word.

Anyway, you can record a macro of your option settings and set it as an AutoOpen for your document. You will likely want to edit it way down to just that option. If I could still install Word 2003 on my computer, I would track down the exact command. (I have about ten licenses, but I can't find them.)

Do you have access to Woody Leonhard's Word 97 Annoyances? You should probably track it down if you do not. Much of it still applies to Word 2003.