The people on this forum who know about these things always recommend first saving the Word doc as an RTF file, then using File>Place to get it onto PM. This will remove your columns, but they can be got back in PM.
As for retaining the column feature, just make sure you set up your PM doc with the number of columns desired on each page in the master page, and ensuring that the 'Autoflow' feature is turned on. When you place the file, it will stop by default at the bottom of the first page/column. You just need to click on the red tab at the bottom (and if autoflow is on, you get a wavy line in the symbol) click it at the top of the next page/column and the rest will flow into however many pages/columns it takes.