I came across this by dint of trial and error the other day. This allows me to copy Excel information into a Word table ending up in native Word format so it looks as good as the text in the rest of the document (but no links I am afraid):

1. Select/Copy your Excel range.

2. Paste into Word. This is the same as paste Special/HTML Format.

The pasted range will be much too big for the page, however this is the trick to make it fit (all the rest is done in Word):

3. Select a range starting just before the beginning of the range just pasted, ending just after the end of the range (i.e. select OUTSIDE the area that you have just pasted; do not start or end your selection inside what was the Excel data).

4. Now convert this selected area to a Table, as follows:

Table/Convert/Text to Table [note that you should only have the Text to table ... option, the other one being greyed out].

5. When the Convert Text to table box appears, just click OK (no need to make any changes).

As if by magic, the Excel table will now be formatted as a Table within Word, fitting into the normal Word margins, and breaking across pages as you would expect of a normal Word table.

The Excel cell layout will be preserved, but there won't be any links to the original workbook. However, all the text will be in native Word format, so that you can re-format if required.

Your Excel data will appear in a Word table that appears to have an extra (blank) row top & bottom, and an extra (blank) column left & right. Apart from the top row, they resist deletion, so you will need to 'remove' the Borders from within Borders and Shading (select from the first blank row of the table to the end, and then delete the borders; they will still show in grey but will not show up in print).