To start with, you say you started with MS Word, yes? Ignore the PDF, it is useless anyway.
So, you have two options to convert that DOCX into an EPUB.
Now you have an EPUB, with the best automatic conversion you can get, it is time to tweak your book to look better. A god place to start is Pablo's
EPub Tutorial.
(Note: calibre's Editor is a drop-in replacement for Sigil, since it does pretty much the same thing in a slightly different way. The experienced ebook maker will probably have a preference between the two, based on the available plugins and personal workflow.)
If you have any specific questions about achieving a particular effect, feel free to ask away.