No, I haven't done unit testing of MS Word Document generation, but as Ingó Vals says, it shouldn't be any different from any other form of unit testing.
1) [Optional - to ensure that you understand correct usage of the SDK for your needs]. Work out how your app should drive the SDK. Write some test scripts that mimic intended functionality and ensure that the Word documents they generate meet your expectations.
2) Create an interface (or interfaces) that contain methods that correspond to the functionality that you need for your documentation generation. Note: the interface does not need to offer the full functionality of the OpenXML SDK - only the functionality that you need for your application.
3) Create a concrete implementation of your interface, which forwards calls to the OpenXML SDK
4) Utilise the interface you created in your application to perform document generation.
5) Use NUnit and NMock (or similar) to write unit tests that drive the generation layer of your application. These tests should use a mocked interface, rather than an instance of the concrete implementation. You can now assert in your tests that your generation layer behaves as you expect.