Mike -
I sounds to me that your merge just needs a picture switch to get your data to display the way you want it to.
Once you have set up your document with the merge as you would like it, just highlight your Price field then Press Shift-F9 to display the merge code.
You should see something like this: {MERGEFIELD Price}
Click right between the e and }. Type a space then "\# #,###"
Like this:
{MERGEFIELD Price \# #,###}
Here is a link that will give you more info if that doesn't do it:
Muck around with field codes
Scott
See Example