Probably a bit of both :)

I have tidied the code up and annotated it. See if that helps. It would help
to replace any section breaks with a paragraph break first. ie replace ^b
with ^p as section breaks will confuse the second part of the macro.

Sub SplitAtFont()
Dim Letters As Integer
Dim Counter As Long
Dim sName As String
Dim docName As String

Application.ScreenUpdating = False
With Selection
   .HomeKey Unit:=wdStory 'move to the start of the document
   .MoveDown Unit:=wdLine 'move down one line
   With .Find 'locate Times New Roman 12 point Bold
       .ClearFormatting
       .Replacement.ClearFormatting
       .Text = ""
       .Font.name = "Times New Roman"
       .Font.Size = "12"
       .Font.Bold = True
       .Wrap = wdFindStop
       Do While .Execute ' and when found
           With Selection
               .HomeKey Unit:=wdLine 'move to the start of the line
               'and insert a section break
               .InsertBreak Type:=wdSectionBreakContinuous
               .MoveDown Unit:=wdLine 'move down one line
           End With
       Loop ' then find the next TNR 12 pont Bold
   End With
   .EndKey Unit:=wdStory ' go to the end of the document
   ' and add a section break
   .InsertBreak Type:=wdSectionBreakContinuous
End With
'define what Letters is
Letters = Selection.Information(wdActiveEndSectionNumber)
'go to the top of tyeh document
Selection.HomeKey Unit:=wdStory
Counter = 1 'set a counter
While Counter < Letters 'set the limits of the counter
   Application.ScreenUpdating = False
   With Selection 'grab some of the first line as a filename
      .HomeKey Unit:=wdStory
      .EndKey Unit:=wdLine, Extend:=wdExtend
      .MoveLeft Unit:=wdCharacter, Count:=1, Extend:=wdExtend
   End With
   sName = Selection 'and apply it to a variable
'***********************************
'Format the name for the split document
   docName = "D:\My Documents\Test\Merge\" & sName & Counter & ".doc"
'***********************************
'Cut the first section to the clipboard
   ActiveDocument.Sections.First.Range.Cut
   Documents.Add 'open a new document
   Selection.Paste ' and paste the clipboard content
   'Save the document with the chosen filename
   ActiveDocument.SaveAs FileName:=docName, _
   FileFormat:=wdFormatDocument
   ActiveWindow.Close 'and close it
   Counter = Counter + 1 'increment the counter
   'Then go round again
Wend
   Application.ScreenUpdating = True
End Sub