If I want to have examples and theorems follow the same numbering sequence,
i.e., ex1, ex2, thm3, ex4...etc, I let them at the same level of, say
heading4 (level4). That is, heading 4 now has a number format of "ex", then
after ex4 if I want to have thm5 I just select heading4 and change the number
format to "thm" and apply changes to "current paragraph".

Now all the titles "ex" and "thm" are identified as heading4 (level4),
although if I click on any "thm" it will highlight only the titles "thm".

question 1 is: how I search for "thm" in my document (since if I search for
heading4 all "ex" and "thm" will be found since word will search by the
heading not the "number format".

question 2 is: Also, If I want to change all "thm" to follow a stand-alone
numbering, i.e., ex1, ex2, thm1, ex3, thm2, thm3, ex4...etc. what should I do?

I want a smarter way than searching on heading, item by item, and when I
find "thm" not "ex" I change it manually.