Chris,
As far as I know (I have never had it), MS Word works in RGB, so anything CMYK going into it is converted.
Obviously, the less conversion the better, so the question is how to best choose the Color Mode, and path from vector artwork to print, to get the best end result. This may depend on whether you are going to print on different (kinds of) printers, or you are using a different (kind of) printer for proofing.
Proofing on a small office (non PostScript, possibly inkjet) printer working from RGB with its own conversion may be misleading if the final print is on a (PostScript based) printer working from CMYK.
Such matters can be quite difficult to deal with.
