Using the rmarkdown package (baked into RStudio Version 0.98.682, the current preview release) it's very simple to convert Rmd to docx, and code highlighting is included in the docx file.
You just need to include this at the top of your markdown text:
---
title: "Untitled" # obviously you can change this
output: word_document # specifies docx output
---
However, it seems that page breaks are still not supported in this conversion.