You can import DOCX files quite easily into Ulysses’ text library. Important text elements like headings, emphasis, footnotes etc. will get transformed into Ulysses’ Markdown XL syntax.
I've used Ulysses 2.5 since the first beta in December, and somehow missed this feature's existence. As a teacher, I get sent Word documents all the time. Being able to edit them in Ulysses is huge.