Assuming each line is terminated by a paragraph break, you could use Find/Replace, with:
Find = ,^p
Replace = ^p

Better still, since this is for a mailmerge, you should consider using the mergefield \b switch in the last mergefield in the mailmerge main document and omitting the preceding comma. For example:
{MERGEFIELD Item \b ", "}
where 'Item' is the mergefield name.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]