I'm not aware of a Java library that can do this in a generic way. There is POI (from Jakarta) which lets you read Word (and Excel) files, and there's iText (on SourceForge) which lets you create PDF files. With these you could stitch something together, but probably not a converter that works for each Word document.
Both formats are quite complex. Maybe a good solution in this case will be to find a pdf printer (software that installs a virtual printer) and print the doc files to it - the printer will create the PDF for you.
If there is an export option in your doc file editor you could look for a way to call it (via API or command-line option).
Another solution could be to open the doc file in OpenOffice, then export it as PDF, this can be done using the UNO API provided by OpenOffice.