Unfortunately, Dave Saunders' amazing PreserveLocalFormatting.jsx script (that changes local formatting to character styles) doesn't work under InDesign CS4. I've tried running it both as-is and in the compatibility mode (putting it in a folder marked Version 4.0 scripts), and it seems to star to run, but doesn't actually do anything. Anyone more versed in scripts know what might be the trouble?
http://indesignsecrets.com/downloads/PreserveLocalFormatting.jsx