You could use

{ IF "{ MERGEFIELD myfield }" = "" "" ",{ MERGEFIELD myfield }" }

or in Word 2003 and probably 2002 just

{ MERGEFIELD myfield \b , }

should be enough.

You can do the latter by selecting the field and right-clicking, then Edit
Field and fill in the relevant option.

otherwise, use Alt-F9 to view the full field codes, ctrl-F9 to insert each
pair of the special field braces {}, and type the remaining text.

Peter Jamieson