Why do you need to select the paragraph number? By default, it has the
same formatting as the rest of the paragraph (assuming that you select
and modify the entire paragraph, not just a part of it). If you need
to format it explicitly/separately, you can do so via the Font button
in the Customize Numbered List dialog box (or in the Customize Outline
Numbered List dialog box for outline-numbered paragraphs).

Here are some methods to extract the paragraph number from a
paragraph:

1. Cross-reference the paragraph number, via
Insert>Reference>Cross-Reference. This maintains a link between
references and the referenced paragraph; if it is renumbered, you can
update the cross-reference to display the correct value. For example,
Ctrl+A and F9 updates all cross-references and other fields in the
active document.

2. Copy the paragraph and Edit>Paste Special as "Unformatted text" at
the desired location. Word will insert the number and text of the
paragraph as plain text.

3. Use VBA to get the paragraph number (and/or other information
related to numbering. See
http://word.mvps.org/faqs/numbering/ListString.htm

In addition to what Stefan said, if you're trying to select the entire
paragraph to cut, copy, or move it, don't worry about the fact that the
number doesn't appear to be selected. It will follow the paragraph if you
cut, copy, or move, but the number will update to the context if you move or
paste the text to a different location.