Q: In our current code, we need to change the font style of the bookmark embedded text.

A: To do this most effectively you can use this code:

add an event handler for OnMailMergeGetText

procedure TForm1.WPRichText1MailMergeGetText(Sender: TObject;
  const inspname: string; Contents: TWPMMInsertTextContents);
begin
  if Contents.StartInspObject.ObjType=wpobjBookmark then
  begin
      TWPRichText(Sender).CurrAttr.BKColor := TWPRichText(Sender).CurrAttr.ColorToNr(clYellow, true);
      TWPRichText(Sender).CurrAttr.Color := TWPRichText(Sender).CurrAttr.ColorToNr(clRed, true);
      TWPRichText(Sender).CurrAttr.AddStyle([afsBold]);
  end;
end;

and make this event beeing called for each bookmark:

WPRichText1.MergeTextEx('','',wpobjBookmark,[wpmergeAllTexts]);