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.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]