Blank lines in Excel cell removed

[Clives]

G'Day,

I'm using an Excel worksheet as a data source for merging into a Word
document. Some cells are "formatted" to contain blank lines (entered
using Alt-Enter) to act as paragraph separators. During the merge these
blank lines appear to be removed. E.g.

First pice of text.

Second piece of text.

Third piece of text.

becomes, after the merge,

First pice of text.
Second piece of text.
Third piece of text.

I've tried formatting the Word document using space after paragraphs
but this adds extra space when the source data is of the form:

First piece of text

First list item
Second list item
Third list item

This becomes:

First piece of text

First list item

Second list item

Third list item

Any suggestions/thoughts on ways to preserve the Excel-based formatting
of the text would be appreciated.

Thanks in advance,

Clive