Andrzej,
Yes, you must record a macro first. After you have successfully completed creating the macro, go to:
TOOLS->Customize->Commands. Select "macros" from the list to show the icons for the macro toolbar (make sure your macro toolbar is showing first). Drag the icon that has a person's head with a green arrow out into the macro toolbar. When you release the mouse, a dialog box will pop up where you can assign which macro to use for the new icon. You'll see a field to enter a shortcut at the bottom of that dialog box. Once you've done this and tested it out, you can then hide your macro toolbar and just rely on the shortcut (mine is "D" for dissolve sub-assembly).
Good luck!