I found a simple solution in at least Lion (10.7.4).
In Word, go to File > Save As > and save your file as a PDF.
Open the PDF in OS X's Preview.
Highlight a URL with your mouse and click the icon on the toolbar that resembles a pen.
From the menu that drops down, select the icon that looks like a chain link (hovering over this icon will reveal the word, "Link").
A floating menu will appear over the URL you highlighted.
Click the drop-down menu and select "URL"
Type the URL you wish to use (example:
http://www.yourlink.com)
Click "Done"
Repeat this step for all of your links (a pain, I know...)
When you are finished, go to File > Duplicate. A fresh copy with your changes will appear on screen.
Now go to File > Save a Version and select where you want to save your new PDF with working links.
Finally, find the file you just saved and open it. The links should now work as intended. I can confirm the links work in Preview and in Safari.
I hope this method works for you. This was an annoying problem that Microsoft should really fix...