You can try the following VBA, but if you are trying to do anything like
"get the paper for different parts of each document from different paper
bins" then something more is likely to be needed:

Sub PrintOneDocPerSourceRec()
Dim intSourceRecord
Dim objMerge As Word.MailMerge
'Dim strOutputDocumentName As String
Dim TerminateMerge As Boolean

' Need to set up this object as the ActiveDocument changes when the
' merge is performed. Besides, it's clearer.

Set objMerge = ActiveDocument.MailMerge
With objMerge

 ' If no data source has been defined, do it here using OpenDataSource.
 ' But if it is already defined in the document, you should not need
 ' to define it here.

 ' .OpenDataSource _
 ' Name:="whatever"

 intSourceRecord = 1
 TerminateMerge = False

 Do Until TerminateMerge
   .DataSource.ActiveRecord = intSourceRecord

   ' if we have gone past the end (and possibly, if there are no records)
   ' then the Activerecord will not be what we have just tried to set it to

   If .DataSource.ActiveRecord <> intSourceRecord Then
     TerminateMerge = True
   ' the record exists
   Else

     .DataSource.FirstRecord = intSourceRecord
     .DataSource.LastRecord = intSourceRecord
     .Destination = wdSendToPrinter
     .Execute

     intSourceRecord = intSourceRecord + 1
   End If
 Loop
End With
End Sub

If you haven't used Word VBA Macros before, see

http://word.mvps.org/FAQs/MacrosVBA/CreateAMacro.htm

As for "applying finishing features to each document," the above macro
obviously assumes that everything you need can be set in the printer driver
and is the same for each document.

Peter Jamieson

Execute the merge to a new document and then run a macro containing the
following commands when that document is the Active Document.  Each letter
will then be sent to the printer as a separate print job:

Dim i As Long
With ActiveDocument
   For i = 1 To .Sections.Count
       .PrintOut Range:=wdPrintFromTo, From:="s" & i, To:="s" & i
   Next i
End With