What Access and Excel have is a display format for SSNs. You can achieve the same in a mergefield via a switch. Right-click on your mergefield and press Shift-F9. You should see something like:
{MERGEFIELD SSN}
Add a numeric picture switch, thus:
{MERGEFIELD SSN \# "000'-'00'-'0000"}
Press F9 to update the field, then run your merge.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]