When creating links to bookmarks in the same document, you must be sure to leave the default document setting to '<Current Document>'. If you try to select the document you are working in by hitting the 'Choose Document' button, the bookmarks you created will not be available to you. This scenario only happens when the document has been saved first. Newly opened documents that have not been saved will not show in the 'Choose Document' window, thus avoiding the entire issue.