We don’t want any extra paragraph returns between paragraphs. Instead, to help as you review content in Word, format your paragraphs to have space below. Highlight the paragraphs, click Format > Paragraph… and then in the spacing section, add 12pt after. This is on a mac, but PC would be a similar work flow:

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Now you can edit the content in your Word doc with spacing to show the paragraphs, and when you copy and paste into WordPress, you can do it directly so that any links, italics or bolding will come through. The only time the links and formatting won’t come through is if you paste directly into the text tab (rather than the visual tab) or if you use the “Paste as Text” button. Only use one of these two methods if you *want* to remove formatting.

Here is a link with a little explanation of that: https://blogs.ces.uwex.edu/wordpress/posts-2/copy-and-paste-from-word/