I do the same thing with my novel (except I use a different WP).
I would suggest saving to html, then loading that in Sigil (another program, sort of like a word processor epub), then saving and converting that with Calibre.
(I also sometimes get lazy, just save it as text and put it on the Kindle that way. Since right now I'm just doing it for proofreading, the fancy formatting doesn't matter)
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