There's no built-in method. In the simple case where each letter corresponds
to one record in the data source you could try adapting and running the
following Word VBA macro to do one merge for each record in the data source:

Sub ProduceOneDocPerSourceRec()
' NB, needs better error management and doubtless other things a VBA expert
' will point out.
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

' while we are looking at the correct activerecord,
' create the document path name
' e.g. something like the following, but in this case
' each lastname must be unique (and must not contain
' charters that are not allowed in a file name)
strOutputDocumentName = _

"c:\mymergeletters\_" & _
.DataSource.Datafields("lastname").Value & _
" letter.doc"
.DataSource.FirstRecord = intSourceRecord
.DataSource.LastRecord = intSourceRecord
.Destination = wdSendToPrinter 'please check the constant name
.Execute

' The Activedocument is always the output document
' Add any parameters you need to these calls
ActiveDocument.SaveAs strOutputDocumentName
ActiveDocument.Close
intSourceRecord = intSourceRecord + 1
End If
Loop
End With
End Sub

Peter Jamieson