Word won't ordinarily change merge formatting on you, so it seems there is more going on than you've described. One workaround would be to select the mergefields for the last two lines, then press Shift-F9 to reveal the field codes, which will look something like:
{ MERGEFIELD MyField } or { MERGEFIELD MyField \* Mergeformat}
You can then add a Charformat switch to the field, thus:
{ MERGEFIELD MyField \* Charformat}
and format the 'M' of 'MERGEFIELD' with whatever font attributes you want. Delete the Mergeformat switch, if present. Press F9 again to update the fields when you're done. Your formatting should now be preserved during the merge.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]

Thanks Paul for the information.

I don't know if this has an influence on the font size, but I used for the fields the 'Address block', and not the 'Insert Merge Fields'.
Created a new Word doc, but this time I used the 'Insert Merge Fields' and the results is now as expected, the font size doesn't change anymore, so problem should be solved.
I have no experience at all regarding Mailings, so it's still a lot of try and error.

Is there somewhere a easy to understand document regarding the use of Mailings / using the right fields for merging, or what book can you recomment that covers Mailings in detail?

Best regards,
Ludo