Hi Sue
I am no expert on Word - although I do have your version and the full version of Office 2010
I found this that is slightly different to what you have suggested above:
Save the document.
Select the text or the image that you want to use as the destination for the hyperlink.
Click the Insert tab.
In the Links group, click Bookmark.
In the Bookmark name box, type a unique name for the bookmark, and then click Add.
Move the insertion point to the location in the document where you want to create the hyperlink.
Click Hyperlink in the Links group.
Click Bookmark.
In the Select Place in Document dialog box, select the bookmark that you want to use as the destination hyperlink, and then click OK.
Click OK to close the Insert Hyperlink dialog box.
It was also suggested that you need to save it to disk without putting it in folders after the hyperlinks had been added.
From what I have read it is possible :)
Get back to us if this doesn't help.