There's two things you can do.
1. Create a text file with all the words you want on a line of their own, and save it with a .dic extension. Open Word and go to Tools>Options>Spelling and Grammar and click Custom Dictionaries. Click the Add button, browse to the saved .dic file and click OK. Remember that the .dic file has to be saved in a secure place so that it doesnt get deleted by mistake. The advantage with this method is that your custom dictionary is maintained across OS and Office reinstalls provided you keep a secure copy of the file.
2. Click Start>Run, type in %APPDATA% and hit Enter. Navigate to the Microsoft/Proof folder and open the Custom.dic file there, add your words in and hit Save.