In Word 2010, how can I insert an icon or text in the margin that is anchored to a paragraph?

Question

In technical books or documents you often see little icons in the margin that indicate some property of the paragraph.

How would I add that in Word 2010 in such a way that it is displayed in the margin and stays anchored to the paragraph?

Here is an example from Code Complete by Steve McConnell with two such icons: KEY POINT and CODING HORROR.