The best thing would really be to send it as an attachment to an email
message.

See the article "Mail Merge to E-mail with Attachments" at

http://word.mvps.org/FAQs/MailMerge/MergeWithAttachments.htm

To produce the individual attachments, in either Word or .pdf format, see
the "Individual Merge Letters" item on fellow MVP Graham Mayor's website at:

http://www.gmayor.com/individual_merge_letters.htm

If you are using Word XP or later, the "Add-in to Merge Letters to Separate
Files" that I have written and that can be downloaded from that site will
allow you to create each letter as a separate file with a filename taken
from a field in the data source with a minimum of fuss.