While encrypting what can happen between words
Keys are not known, algorithm is not known.


Wrong initial assumption. The only secret must be the key by Kerckhoffs's_principle.




  but in order to make it harder I could add consecutive letters to consecutive words


and


  another example would be encryption using Caesar...


This is not new, this is nearly 600 years old, it is commonly called Vigenère Cipher and it is super weak with nowadays assumption such as Chosen Plaintext Attacks.




  Are there any known and used methods that happen every word or every sentence?


Yes, for example Cipher Block Chaining. Note that sentences are not composed of words anymore but seen a bit-string that you are splitting into blocks (sort of words) of the same length.