Use Place (not Paste) and use the facilities of the Microsoft Word Import Options facility. Note, Direct formatting in Word is called Local formatting in InDesign (Character Styles). You can use the Preptext.jsx script to convert the imported Word Local Styles into InDesign Character styles: https://indesignsecrets.com/perfectpreptext-a-smart-way-to-style-local-formatting.php
File > Place is the way to go. More on that below:
In the Place dialog box, select the Word document that you want to place, which enables the Show Import Options checkbox and click Open. This will display the Microsoft Word Import Options dialog box.
Formatting section located at the bottom of the dialog box. There are two main choices when importing text from Microsoft Word.
Check Option 1.
1. Remove Styles and Formatting from Text and Tables – This will strip out all formatting from the Word document and use the current style in the InDesign. Except if you CHECK: PRESERVE LOCAL Overrides – will preserve your italic and bold formatting from your original document.
What Option 2 will do.....
2. Preserve Styles and Formatting from Text and Tables – This will retain any formatting applied in the Word document and also gives you the option to import any Word styles and Map Word styles to InDesign
Derek's added, "Preptext.jsx script" is a nice bonus.
Just want to add: After placing (using mjbelt's instructions above), you can do a find/change to assign styles to your bold and italic text. Find Format: Italic (in the Basic Character Formatting pane) and Change Format: to your Italic character style. Repeat for bold, etc.
I like this script for formatting the text automatically with styles. It's hosted on my site, but I didn't develop it (the developer was kind enough to let me host it when he was done with it).
Thank you very much, Derek! This is what I was looking for.
Just to add that I'm using Mac and Pages (and not Word) and Adobe CC for MacOS, but it worked just fine the same way using your Option #1.