When you paste, do you see a paste icon (clipboard) next to the pasted text? If so, click it and you should see a radio button that says Keep source formatting.

If you don't see that box then click the Office Button upper left, and then click Word Options at the bottom. When the menu shows up, click Advanced, and then in the Cut, copy, and paste section select the Show Paste Options buttons check box. Click OK. and you should be able to get that option when you paste text.