I agree wmf works better. It's a vector format so you can zoom in. I've never worried about lineweights.
Another approach is to use a pdf instead. The format is just as generic as Word but you'll have more control over the image than with an embedded wmf.
Bmp's and other raster formats are pixellated. If you zoom in far enough, it won't be clear. You probably aren't going to be able to use a sufficiently high resolution bmp to prevent this -- the file will be enormous. To prove this to yourself, just try it. Set up a new "plotter" and pick raster devices. Try plotting to a bmp file of various sizes and then zooming around in it. I think you'll find that if the image is smooth enough it will be unworkably huge.