My fix for this has always been to format to text in the source, not using Word.
Define a new column (might be hidden) and use the text function (see for example) to format the value in that column to a string. Then use that column as source for your mailmerge, like any other fields.

Some persons prefer to use the formatting options offered by Word. That's a viable alternative.

And I assume the DDE-option still works in Office 2007, but I don't know for sure.

More on these three options (in reverse sequence) in