Yes you loose the colour, also the character spacing (font dependant)/ tab spacing alters. So if you had comments in nice strait lines down the page, they are now all over the place.
I tried using Arial, font size 10 and a charater spacing of 130%.
This lined up most of my comments etc.
To change the font spacing go>format> font>>character spacing
To change the standard tab spacing, go>format>paragraph>tabs and set the default tab stops to 1.2cm
But the best way is as Andrew suggests, a screen shot
Hit the print screen button then goto word and Ctrl V (paste).
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