In Word, change the hard returns to dollar signs, using Edit, Replace.
Copy the cells to Excel.
In Excel, run this macro:
Sub dollartobreak()
Cells.Replace What:="$", Replacement:="" & Chr(10) & "", LookAt:=xlPart,
SearchOrder _
:=xlByRows, MatchCase:=False, SearchFormat:=False, ReplaceFormat:=False
End Sub

"Bob" wrote:

When I paste text copied from a Word document into an Excel cell, Excel
breaks the pasted text into separate cells according to the paragraph breaks
contained in the pasted text. However, I would like to preserve those
paragraph breaks and keep all the pasted text in the same cell.

I realize that when entering text in a cell, I must insert Alt+Return to get
a paragraph break to stay in the cell. But there doesn't seem to be a way to
force pasted text to stay in a single cell when it contains paragraph breaks.

Any advice would be most appreciated.