This example creates a new document, then inserts an embedded Word document with some text. Then, the embedded document is converted to a Word Picture.
Documents.Add
Set myEmbedded = ActiveDocument.Shapes _
.AddOLEObject(ClassType:= "Word.Document")
myEmbedded.Activate
Selection.TypeText "Test"
myEmbedded.OLEFormat.OLEFormat.ConvertTo _
ClassType:="Word.Picture"