Documents, including those saved in Microsoft Word (.doc, .docx) can be used to create ebooks. AZW ebooks for Kindle are just variant of MOBI format that include DRM, it is unlikely you need to create DRM for your ebooks so converting to MOBI would be more preferable here. However programs like Calibre or similar ebook management programs can save even to AZW format.
Open DOC file Open AZW file