To convert text, WordArt (WordArt: Text objects you create with ready-made effects to which you can apply additional formatting options.), or drawing objects to watermarks (watermark: Any graphic or text, such as "Confidential," that when printed appears either on top of or behind existing document text.), you need to first save them as pictures and then reinsert them into your document as pictures.
Right-click the object, click Save as Picture, and then select the options you want. Delete the object and then insert the picture that you saved.