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What's the difference between two items in paragraph menu section of Word 2010: "Define new multilevel list" and "Define new list style"? Are these items in the same correlation as direct formatting and styles?

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In short, one is to create while the other is to modify. Here is Microsoft's definition of the two functions;

What is the difference between the Define New Multilevel List and Define New List Style commands? The Define New Multilevel List command is convenient for creating and saving a list style that you won't ever change or that you will use in a single document. You can use the Define New List Style command to change the style design you created. If you use the Define New List Style command to define a new list style and then you make changes to the style, every instance of that list style is updated in the document.

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The controls for a MultiLevel list give you much more control over your numbering and list formatting than do the controls for an ordinary list.

You are far better off using the Define New MultiLevel List dialog as described in Word MVP Shauna Kelly's Page on Outline Numbering.

I summarized that in my answer here.

The thing is, the gallery is temporary, confined to one computer. Much better is to set up a Word Template with your numbering set up and use that as the basis for new documents.

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