I often convert big .doc files to PDF when I only need to read them, since they load much faster as PDFs. I was always annoyed that Word wouldn't transfer the document structure, with the headers etc., to the PDF's 'bookmarks' section. After a while, I came up with the solution…
Open the .doc or .docx file (I only tried .doc) with OpenOffice 3 and choose File » Export as PDF. This works like a charm, and I like the irony of OpenOffice being better than Microsoft at converting their very own closed format.
macosxhints.com – Convert .doc files to PDF and retain ‘structure’ info