You are talking about marking words as correctly spelled for a particular document or documents?
There is no way to set a custom dictionary for a particular document and if there were, it would not travel with the document.
However, it is possible to use a custom style to tell word to not check the spelling or grammar. That marking travels with the document and applies on any computer where the document is opened. You can assign a keyboard shortcut to such a style.
Yes, words that are correct in one document but incorrect anyplace else. This is a near universal issue for fantasy and science fiction writers. It's an even bigger deal for editors who may work with dozens of different genre books every month, each with its own unique words. Also an issue for any fictional work with highly peculiar character names or books/articles mostly in English but with fragments of ancient or dead languages.
Thank you for the suggestion about suppressing the spell check for certain words. I can see why that could be a good work-around in many cases. However, for me, I fear that I would typo my own words (I found many just today where I had done exactly that). I want them spell-checked, just spell-checked using my Custom Dictionary.
I'm a fan of Word (and in spite of this problem, I still think it's far better than any other options), but I find this implementation of Custom Dictionaries quite odd: there are "Custom Dictionaries" but they are not limited to associated documents, which seems to me the primary use for having multiple Custom Dictionaries (as opposed to a single user dictionary where you just keep adding all new words). If it were just for specialized terms, like medical terms or jargon, just throw those into the user dictionary as they're used.
It seems that the only reason you would need more than 1 dictionary would be because you have words that are correct in 1 document and NOT in another (like character names or fake words). And from that it follows that you would need a way to specify which Custom Dictionary goes with which document. That Word offers Custom Dictionaries, but doesn't allow associating them with specific documents, is mind boggling to me. Worse, the Options page does have document-specific settings (like whether to embed fonts), so it's not like there's no way to store doc-specific attributes. Just include the Custom Dictionaries in that part of settings instead of in the application-wide settings. I don't see any justification other than failure to think it through properly.
My work-around will be to try to put all those words into a Custom Dictionary .dic file, put it on OneDrive, and set it as a Custom Dictionary on all my computers, and then do my best to remember to disable it when I'm not working on the book that needs those special words. I am certain that I will sometimes forget to disable it and typo a work that isn't flagged because the Custom Dictionary is still active, then release something with a misspelling just because of Word's malignant implementation of Custom Dictionaries. And even if by some miracle that never happens, it remains that I will be always wondering if I "left the stove on" while I'm writing, and keep checking in options to see if the Custom Dictionary is disabled when I'm not using it.