Chet, I did an article on the footnotes in one of the recent RUGPO newsletters. You might want to check out website for more info (should be a link from page 1)on that. http://rug1.tripod.com/http://rug1.tripod.com/
As for bringing them in chapter by chapter, Word has the ability to create its own index. I don't know if you could work the options from UFT and the optons from Word together, but I'm suspecting that you could. Once you have an index made for each separate chapter, you can connect the separate files (see you MSWord book on "connecting separate files" under the topic of Long documents. It takes a bit to set up Word for this, but may be well worth it.
I know when I did it, I made it much more difficult than it really was, simply by not knowing what to do once I got into Word from UFT. (The article explains my stupidity a bit; but everyone knows I'm somewhat ditsy--but at least I try--heh heh.) Best of luck! Ruthie