Depends somewhat upon the InDesign version, but one thing that has worked for me with indd6 and Word 2003+ is to create a file with indd styles for italics and whatever else you need at the character level. Then, when you import the Word file(s), tell indd to map the Word styles to the indd ones.

Otherwise, yes, loss and death and destruction. If there's another way, I'd love to know about it.