In the Mail Merge, after you select your Excel file as a data source,
you should see a 'Confirm Data Source' dialog box.
(If you don't see the dialog box, change the setting in Word --
under Tools>Options, General -- add a check mark to
'Confirm Conversion at Open')
From that list, choose 'MS Excel Worksheets via DDE (*.xls)', and your
formatting will be retained.
If you have to connect through a different source, you can format the
fields in the Word document. For example, to format as currency:
1. In Word, in the Main Document, press Alt+F9 to view the field codes.
2. Find the field code for the number. It will look something like:
{ MERGEFIELD FieldName }
3. Add a switch, to format the number as currency.
For example:
{ MERGEFIELD FieldName \# "$#,##0.00;($#,##0.00)"}
4. Press Alt+F9 to hide the field codes.
5. Save the Main Document