Three things you can try:
a. as you suggest, change the data format to text and re-enter the data, or
transform the data you have into a format containing the "-" characters. I
suspect this is likely to be the best bet longer term.
b. connect to the data source using DDE - this requires that you have
\Excel on your system. Check Word Tools|Options|General|Confirm conversions
at open, then go through the connection process again and select the DDE
option when offered. This is the way Word used to connect by default in Word
2000 and earlier.
c. try using a numeric format switch in Word. This will only work if
   - the number format is very consistent
   - the number of digits is not too large

e.g. instead of

{ MERGEFIELD ssn }

try

{ MERGEFIELD ssn \#"000'-'00'-'0000" }

Peter Jamieson