Why insert an empty field? Insert a filename field. The following will replace the first paragraph content with a filename field.:
Dim oRng As Range
    Set oRng = ActiveDocument.Paragraphs(1).Range
    oRng.End = oRng.End - 1
    ActiveDocument.Fields.Add Range:=oRng, Type:=wdFieldFileName, Text:="\p", PreserveFormatting:=False