How do I convert a Microsoft Word document on my iMac to an Apple Pages document?

Open the Word document in Pages, which will attempt to translate that Word document contents into Apple Pages internal document format. The original Word document is unchanged. Then File menu : Saved… and pay attention to where you are saving the Pages document, because it may default to iCloud Drive when you actually may want it on your local drive in Documents.

Because Pages is not a Word clone, features unique to Word will not be translated into Pages document format. Font faces referenced in that Word document must be physically installed on the Mac.

When you save a Pages document, the extension will always be .pages, and in fact, the .pages extension is automatically supplied in the Save/Save As panel. Do not change the .pages extension with a .docx extension. Your original word document icon will have a DOCX stamp on it, and should have a .docx extension (unless Finder is hiding the extension). Pages documents do not have a document type stamp on them.