Simon, I don't have direct experience with that transition, but since no one else has chimed in I'll give my $0.02
Try uploading your 2006 file to Ancestry.com (you can make it a private tree if you want it unpublished). You can use the built-in method for publishing or you can simply use the Ancestry "Upload a GEDCOM" function and choose your .FTW file; Ancestry doesn't need you to convert it to GEDCOM first.
Once it's on Ancestry, then download it into FTM2012 using the "Download from Ancestry" function on the New Tree tab.
If you don't want to leave it published, you can then delete the online version - or you can leave it as a linked tree that will be continually updated as you modify your tree in FTM.
I have found the upload-download method of moving trees from older versions of FTM to be pretty reliable with regard to retaining source info.