The problem description suggests the OP was merely previewing the merge for each record from the mailmerge main document, then saving a copy of the preview without ever executing the mailmerge.
The normal process for generating individual files from a mailmerge entails executing the mailmerge then using a macro to split the output into separate files. Numerous such macros are available on the web. A more sophisticated approach is to drive the whole process from a macro that uses one or more fields from the data source as part of the output file names. Again, such macros can be found via a web search. See, for example:
http://www.gmayor.com/individual_merge_letters.htm.