You could try to keep Calibre's conversion out of your work chain. Just save the document as filtered html and open it in Sigil; then save it as epub. This might get you to a different result. If it is the desired one depends a lot on the way you build you Wordfile.
Make sure you use styles instead of double returns for empty line between paragraphs. The indent of paragraphs should also be done by styles and not by tabs or spaces.
To get a nicely styled epub with a layout more complex than a simple fiction book, you will probably have to work with the html and css directly.
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