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1) Put cursor in middle of a word
2) Start recording macro
3) Ctrl+W (Selects the entire word, this is easier then the two step ctrl+left, ctrl+right, and works if the cursor is right before the first char of the word!)
4) Command+E (Puts the word into the 'Find' part of the Find dialog without opening the dialog)
5) Command+G (Searches for the next occurance of the 'Find' word in the Find dialog without opening the dialog)
6) Stop recording macro
The reason your version wasn't working before was that when you opened the find dialog and ran search, the macro was only recording the single "real action" that was taking place... searching for whatever word was in the "Find" buffer. It then records that in the macro as "perform a search with the given hardcoded word" In the macro above, using Command+E (also known as Apple+E) is an action to put the current word into the "Find" buffer. That action is recorded by the macro. Same with the Command+G action later.
I know that I didn't use the correct terminology, maybe someone can explain it a little better, but that is my reasoning of why your macro was not working.
Cheers,
Joseph Pecoraro