Not easy. You can trap the EditCut and EditCopy commands to check if the
selection being cut or copied contains a bookmark (what do you do if it
contains several?); and you could trap the EditPaste command to create or
redefine a bookmark in the pasted text, if you knew that one was required.

But trying to track the bookmark information between the cut/copy event and
the paste event would be tricky to say the least. Bookmarks are not part of
the text that is cut or copied, and the clipboard itself is not part of
Word, so you'd have to store the bookmark details separately. Any number of
situations that would screw this up: copying the same bookmark multiple
times; target document already has a bookmark with the name used, etc.

Don't go there.