[roman]

Experimenta con algo así

var
  LinkToFile: Olevariant;
  SaveWithDocument: OleVariant;
  Range: OleVariant;

begin
  LinkToFile := false;
  SaveWithDocument := true;
  Range := WordDoc.Range;

  WordDoc.Range.InlineShapes.AddPicture(
    'c:\bmp.bmp',
    LinkToFile,
    SaveWithDocument,
    Range
  );

donde WordDoc es una componente TWordDocument.