I'm not clear on how the Word 2004 handles it & not near one at the moment,
but PC Word prior to 2007 did not allow for saving custom watermarks at all.
You basically had the same dialog as 2007 and the custom watermark applied
to the current doc only... it wasn't - and still isn't - added to the
default list of watermarks in that dialog. At least in 2007 you can save the
custom watermark, but as a gallery object and you need to do it this way:

1- Create the custom watermark as you're currently doing. It is inserted as
a graphic object in the Header/Footer layer of the doc.

2- Next, go to the H/F layer (Insert Tab>Header button>Edit Header or just
double-click near the top edge of the page).

3- Once there, click on the watermark to select it, then go to the Page
Layout Tab>Watermark & your Save Selection to Watermark Gallery command will
be active.

From then on you will be able to select it from the Gallery in any doc & not
have to recreate it or go back into the Custom Watermark dialog unless
creating a new one.