You can use automatic Roman numeral formatting in page numbers and numbered lists. For page numbers:
1. Click the Insert->Page numbers menu item.
2. Click the Format button.
3. In the Number Format list box, select the Roman numeral format you like.
4. Click OK.
5. Back on the first dialog box, If you already have page numbers, just click Cancel, otherwise, Click OK.
For numbered lists:
1. Right-click on the list and select Bullets and Numbering.
2. Click the Numbered List tab.
3. Click the Customize button.
4. Again, in the Number format list box, select the style you want.
5. OK out of everything.
Two notes about this:
1. Changing a numbered list format may affect other documents that use that format.
2. Because they use a widely variable number of characters positions, Roman numerals work poorly in numbered lists, especially when you get past X.
I think you can also use Roman numerals in customized number sequence fields, but I'm not sure.
Hope that helps.