I have a list of strings (words like), and, while I am parsing a text, I need to check if a word belongs to the group of words of my current list.
However, my input
I'm not clear on why you chose a list in the first place, but here are some alternatives:
Using a set() is likely a good idea. This is very fast, though unordered, but sometimes that's exactly what's needed.
If you need things ordered and to have arbitrary lookups as well, you could use a tree of some sort: http://stromberg.dnsalias.org/~strombrg/python-tree-and-heap-comparison/
If set membership testing with a small number of false positives here or there is acceptable, you might check into a bloom filter: http://stromberg.dnsalias.org/~strombrg/drs-bloom-filter/
Depending on what you're doing, a trie might also be very good.