In Word 2007 I just list the files and then create the respective hyperlinks for them.
To create the hyperlink, click on the Insert Tab, then on the Hyperlink icon in the Links section, while highlighting the relevant item in the list. Choose the file (pdf or other) to be hyperlinked and the hyperlink will be created.
I find that unless I actually publish the Word document, I need to hold down the Control button while clicking on the hyperlink in order to open it.
Hope this helps :-)