General Answer:
Don't use
it. It has serious bugs and will corrupt
your entire document at the most inconvenient time possible. (This advice to not
use Master Documents reported as correct through Word 2000, SR-2.) John McGhie puts it
succinctly when he says that there are two kinds of Master
Documents: Those that are corrupt and those that will be corrupt
soon.
http://www.mvps.org/word/FAQs/General/WhyMasterDocsCorrupt.htm
http://www.mvps.org/word/FAQs/General/RecoverMasterDocs.htm
Keep in mind that Word will handle fairly large documents,
assuming you have the processor and RAM to deal with it. Second,
there are reasonable work-arounds available. See the MVP websites for
additional ideas. (Look especially at Cindy Meister's site.)
The general rule might better be phrased "Don't edit
Master Documents!" You can use the feature to generate something to print.
You can use it to get Word to split up result documents from
mail merge into separate files. But when you are done with the Master
Document it should be deleted before it corrupts your subs.
Steve Hudson (aka the
Word
Heretic) has apparently mastered
Master Documents and provides
detailed instructions on when their use is
appropriate, how do to it, with strict rules to follow in Word
or PDF
format. These are only for those who are willing and able to follow the
instructions. If you are inclined to skip steps or ignore his warnings see
the general answer above.
The Tech-Tav template is one such
work-around.
http://www.tech-tav.com/
http://www.mousetrax.com/yisrael.html#tech-tav
Robert Mohr’s work-around is described
in:
http://www.writemohr.com/Build-a-book.pdf
(part of a book: Elements of Word
- http://www.writemohr.com/)
MVP Dian Chapman has a great
page on using
RD fields instead.
MVP Jonathan West has written a page
with code on Creating a Table of Contents Spanning Multiple Documents
http://pubs.logicalexpressions.com/Pub0009/LPMArticle.asp?ID=148

Here are some recent threads on this topic. (Each is a
single line even if wrapping on your screen.)
Alternatives
to Master Documents? (2001-04)
The
best way to create an Index of 1000 documents? (2000-11)
Chapter
numbering, appendix numbering, figure numbering and cross referencing
(2000-09)
Build
a TOC across several documents (2000-08)
Problem
with numbering subdocuments (2000-08)
Numbering
Across Documents (1997-12)