Mail merge in Word 2007 using Excel data doesn’t keep formatting.

I have a contact list as an Excel worksheet. The “Zip Code” column is formatted for “Zip+4). Looks good in Excel.

When I create a mail merge document in Word, the zip code is not formatted, (no hyphen.) I actually tried the same thing with a different file in Word 2003 and had the same problem.

Any ideas?

Thanks!