That I did not find - there is no File option in my Word prefs (v. 14.1.0).
But I found out that if you untick the option "Save preview picture with new documents" (Word prefs, Save), then the size is reduced dramatically. A 158kb file became 17kb.
This option is useless in the OS X environment anyway, as the thumbnail is created by the Finder (probably, by QuickLook) not by Word. So, you do have this preview picture available even if you toggle it off in Word prefs.