Molto volontieri.
It is a bit long, and I don’t know how you might deal with footnotes. You may have to find a work-round. Highlighting you may be able to do – you will need to look at the documentation for MultiMarkdown. If you decide to use the procedure, you could record it as a macro in Word 2004, which I believe you can’t do in Word 2008, but you might be able to use AppleScript instead. I’m using Word 2004 on an English system, but I trust you will be able to find equivalents on an Italian system. The (example) procedure is:
Create test document in MS Word.
Type and format headings. (You can use any formatting or fonts, as Word will Find/Replace these, but for the sake of example I will use the built-in heading styles. Easiest way to use these is to select your first heading and press Cmd-Opt-1. If you still have default settings this formats the text with the style for Heading 1. Cmd-Opt-2 gives Heading 2, Cmd-Opt-3 gives Heading 3. This only works for the first three heading styles. Other heading styles have to be selected via the menu.)
Type in body text using Normal style, or whatever other style you want.

Save test document as normal MS Word document (might as well save it, in case of crashes or other mishaps).
Go to the “Find and Replace” dialogue (via Edit menu on the English system, or via Cmd-Shift-h – no idea what it is on an Italian system [Cerca?]).
Do not type any text in the first slot (“Find what:” on the UK system).
Go to bottom of dialogue window and click on “Format”.
Select “Style…”.
Select “Heading 1”
“Find what:” slot should now have “Format: Style: Heading 1” or some such under it.
Move to “Replace with:” slot.
Type "# " (that is: hash followed by space).
At bottom of dialogue box, click on “Special”.
Select “Find What Text” (alternatively, you can just type “^&” [that is: caret followed by ampersand] into the “Replace with:” slot).
Go back to “Special” and choose “Paragraph Mark” (or type “^p” – caret followed by letter p). It is important to have a blank line after every heading or the import into Scrivener won’t work properly.

Click on “Replace All” (unless you are feeling nervous and want to do it one at a time).
Word will prepend a hash and a space to every piece of text formatted as “Heading 1”, and append a paragraph break.
Repeat this process by “Finding” text formatted as Heading 2 and using two hashes, etc., etc.
Body text can be left as it is.
The resulting file should be saved as a plain text file.
The problem now is that Scrivener seems to want the text file to be in UTF-8 encoding with Unix line endings. I get this by opening the file in TextWrangler (free and very useful at times), going to the Edit menu and choosing “Document Options”. You can then choose UTF-8 and Unix line endings, and Save.
In Scrivener, import as MultiMarkdown file. Result as below:

I hope this may be of some help.
Best wishes,
Martin BB.
PS: un saluto a Leopardi.
PPS: Someone posted a script on another thread which does the same sort of thing more quickly (see download/file.php?id=307) but I think it only looks for the Heading styles. You would need to adapt it if you need to Find/Replace text with other sorts of formatting, so the procedure I have described above may help you to work out how to do it.