@frabjous: as far as I know, the Kindle PDF viewer doesn't yet have the ability to recognise or activate links within a PDF. So while the PDF itself might have a fully functional TOC, those links don't work when it's viewed on a Kindle.
@joecap: Susan's suggested use of the <mbp

agebreak/> tag will certainly work - I've used it successfully myself - but you have to edit the HTML code directly to insert it, after saving your Word doc as HTML, and before converting it to MOBI format.
I'd suggest, though, that for best results, you need to shift your focus a little, away from trying to replicate your Word doc layout exactly, and towards getting the best result given the different nature of ebooks compared to print docs. For example, if I understand you correctly, you currently use lots of blank lines, inserted using the ENTER key, to position something at the start of the next page - that can really only work successfully when you are working with a fixed size medium like sheets of paper. Much better to use the "Insert - Page Break" command instead. Similarly, if you currently use the ENTER key to create extra blank space between certain paragraphs, instead, use the Format - Paragraph command and specify the amount of blank space you want in the "Space before" or "Space after" settings. When converting Word docs to HTML and ebook formats, simple blank lines inserted using the ENTER key will mostly be ignored, whereas "page breaks" and paragraph formatting stands a much better chance of carrying over into the converted format.
Try amending the way your Word docs are formatted, getting rid of all those blank lines and replacing them with page breaks or paragraph formatting as appropriate, then save as "Web Page, Filtered" and try converting that to MOBI format.
An alternative route, if these MOBI files are just for your own use, would be to amend the Word doc formatting as suggested, then use Mobipocket Creator to convert the Word doc itself (make sure you save it as a .doc file, not .docx) to MOBI format (it'll create a .prc file - that's simply another type of MOBI file and can be loaded directly onto your Kindle without any problem).
(
Edit to add: grrrrr! I cannot for the life of me get this forum to display the mobipocket pagebreak code correctly - it insists on converting the "colon p" into a smiley! I even used the entity code for a colon to try and get it to display correctly and it did when I previewed the post, but not, it seems, here in the final version! Bah!)