You can email DOCX files to your Kindle which will convert them to a Kindle-friendly format for your viewing - it doesn't cost anything if you are receiving the files via wifi. Some complex DOCX files might not be formatted perfectly for the Kindle but you wouldn't know that without trying.
If you really want to convert them before getting your Kindle, I would suggest saving as HMTL files first because the links etc will be preserved. And it is my experience that HTML files convert better into mobi files than pdf. Calibre can convert HTML files for you no problem.