Open Notepad.
Paste the following in it:
Window Macros 0 0 200 100
Open 1
End
Go to File -> Save
Navigate to your COH install folder.
Go into (create if necessary) a folder called "data"
Create a folder called "customwindows" and go into it
Save the file as "custom.window" making sure you use quotes in the File -> Save dialog (otherwise, Notepad will append .txt and break it).
Now, launch Paragon Chat. You will see a window like this one:
Drag and drop your macros into it, or use the "New command" button to create new macros.
The client will save your macros to the same file, and they will be there every time you log in, on all your characters.
For example, after moving the window a bit and adding the Wave macro, the file now reads:
Window Macros 0.0256 0.1822 200 100
Button Wave "em wave"
Open 1
End