I'm using a Mac and copying from Pages into TextWrangler and from TextWrangler to the LessWrong editor does not appear to have worked. What might be going wrong?

That's strange. One gotcha is that if you accidentally paste in some formatted text, then delete it, the LW editor remembers the font and line settings at that point and will apply them to any unformatted text that is then pasted in. To make absolutely sure of eliminating all formatting from the editor, select everything and hit backspace twice. The first will delete the text and the second will delete its memory of the formatting. Then paste in the unformatted text, making sure that you actually copied it out of TextWrangler after pasting it in there.

In the last resort, click the HTML button and see if the HTML has anything like:

<p style="margin: 0.0px 0.0px 0.0px 0.0px; font: 12.0px Helvetica;">

at the top, and delete it (together with the corresponding </p> at the end of the text).

And of course, save the article as a draft so you can see exactly how it is being formatted before publishing.