I think the only way to do this is to use VBA to perform a separate merge
for each document (or you may be able to merge to a new document and then
split it up).

You can try the following VBA:

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 'please check the constant name
     .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

Peter Jamieson