Best method to create a choose your own adventure styled document

Robert's suggestion is 100% correct, and it's how I have made CYOA-style stories in the past. There are multiple ways to do it, but there are only two really meaningful methods for someone in your shoes.

If you go to Window -> Type -> Cross-References, and click on the flyout menu in the upper right hand corner, you can choose "Insert Cross-Reference." This will allow you to choose "Paragraph" in the "Link to" dropdown, and then the Destination will actually show you the first words of each of your paragraphs. You can choose to limit the paragraphs displayed by source document and paragraph style. 

Below that, you can choose the format of the cross-reference, and you'll probably need to click on the little pencil edit-me icon to massage the format of the displayed cross-reference to your specifications. 

If the whole-paragraph method of referencing feels clumsy to you (as it often does for me) then you can instead start by putting little invisible named markers into your paragraphs. So e.g. you put your cursor at the beginning of the "your character falls down the mineshaft and dies" paragraph, go to the flyout menu of the Cross-References panel and choose "New Hyperlink Destination." Then you can choose to insert a Text Anchor (an invisible zero-width character in your text) and give it a simple name ("Mineshaft Death"). Then, when you need to make a cross-reference to it, you can pick "Text Anchor" instead of "Paragraph" from the Link To dropdown, and point your reference to "Mineshaft Death." 

I strongly prefer the second method because I usually work with languages I can't read, but even when working in English I'd rather look for a word or two in the Cross-References panel, instead of needing to actually search through paragraph text.