Cognate point:
It is commonplace in computer packages that when a special character is given a special meaning, there is also an escape or literalising character defined, often backslash or escape, to take away the special meaning. The point being that this is typed, so need not slow down the speed of typing (which was the objective of the whole exercise, remember).

So a worthwhile question is: Is there such a character defined for Word 2007 Autoformat as you type? (I haven't found one.)

One suggestion: Choose some character on your keyboard that you rarely use as an 'escaping character', maybe ¬ might be a good candidate. Use this to destroy the context producing the special effect eg ¬*xyz* or ¬1. or ¬Heading or ¬--- (but not ¬1st). Then do a global edit at the end of the typing session to replace the escaping characters by nothing.

Otherwise use Customize to place the Autoformat As You Type icon on the Quick Access Toolbar, so the relevant options can be changed at a sensible pace.