I don't do it, so I can't really say how bad it is. I've always had a pretty good experience importing or exporting files, but I only do it once; to get the file to one environment from the other. Used this way most reviews class the iWorks apps among the best.
The problem happens when you keep passing the documents back and forth. Because you are basically translating the documents from one formatting language to another, errors accumulate. It's a lot like using a translation program. The fist time you translate something, it is usually understandable, maybe even a good , but if you keep passing the phrase back and forth it just keeps getting further and further away from the original, until it is nonsense. In the case of a text document it won't have much affect on the actual content (the text), but it can play havoc with the formatting.
So, if you're going to need to edit the documents on more than one place, you want to keep the language (file type) the same. That does not mean you won't get any errors, but it should help to keep them to a minimum.
Mostly it is going to depend on what you actually do with your documents. The most powerful feature rich tool isn't always the best choice for a job.
