When inserted into a Header or Footer Word will automatically display the correct value foreach page.

Word will not automatically update these place holders if inserted inside a document level Paragraph. 
You need to right click and select update field. I therefore suggest that you only use these place holders inside Headers and Footers.

Added
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Paragraph.AppendPageNumber(PageNumberFormat)
Paragraph.InsertPageNumber(PageNumberFormat, int index)

Paragraph.AppendPageCount(PageNumberFormat)
Paragraph.InsertPageCount(PageNumberFormat, int index)

Example
-----------
// Create a new document.
using (DocX document = DocX.Create(@"Test.docx"))
{
    // Add Headers to the document.
    document.AddHeaders();

    // Get the default Header.
    Header header = document.Headers.odd;

    // Insert a Paragraph into the Header.
    Paragraph p0 = header.InsertParagraph();

    // Append place holders for PageNumber and PageCount into the Header.
    // Word will replace these with the correct value foreach Page.
    p0.Append("Page (");
    p0.AppendPageNumber(PageNumberFormat.normal);
    p0.Append(" of ");
    p0.AppendPageCount(PageNumberFormat.normal);
    p0.Append(")");

    // Save the document.
    document.Save();
}