[edit: sorry just read that AndyM mentioned the undo trick in the above post. try the double -- to creat an m-dash though.]
here's a trick:
don't disable the autocorrect feature to change - to – (n-dash to m-dash).
now if you type - (an n-dash) and word autocorrects it to – (an m-dash) then just hit CTRL + Z to undo the autocorrect action, you'll get your original - (n-dash) back.
if you want an – (an m-dash), you can can type two -- (n-dashes) next to each other and word should autocorrect it to – (an m-dash) for you.