Manually.

However, if there's a lot to be done, execute the merge to a catalog (or in
Word XP and later) directory type mailmerge where you have a one row table
in the main document with each mergefield in a cell of that table.  Execute
that merge to a new documnet, then select the table that is created and copy
and paste it into Excel, and then use a formula in Excel to get the first
character of the middlename and add a period to it and then copy that
formula down for each row in the data source.  Add some field names as the
first row in that spreadsheet and then use it as the data source