If your data source is Excel, you could use
http://www.gmayor.com/ManyToOne.htm in One to One mode and merge to the printer, each document is treated as a separate print job.
If not you could use the following macro. Merge to a new document and use the macro to split the document to the printer.
Code:
Sub SplitMergeLetterToPrinter()
Dim lng_Sections As Long
Dim lng_Counter As Long
lng_Sections = ActiveDocument.Sections.Count
lng_Counter = 1
While lng_Counter < lng_Sections
ActiveDocument.PrintOut Background:=False, Range:=wdPrintFromTo, _
From:="s" & Format(lng_Counter), to:="s" & Format(lng_Counter)
lng_Counter = lng_Counter + 1
Wend
lbl_Exit:
Exit Sub
End Sub