This macro assumes that the data source is in a Word table, which is the default option when creating data. Currently it saves the letters as "Letter 1.doc", "Letter 2.doc" etc, so it could use some adjustment here to make the naming convention a little more friendly. It's also designed to be run with the main document of the screen open and active in Word.
Sub MergeIndividual()
Dim strPath As String
Dim intCount As Integer
Dim i As Integer
strPath = ActiveDocument.Path
ActiveDocument.MailMerge.EditDataSource
intCount = ActiveDocument.Tables(1).Rows.Count
ActiveDocument.MailMerge.EditMainDocument
For i = 1 To intCount - 1
With ActiveDocument.MailMerge
.Destination = wdSendToNewDocument
.SuppressBlankLines = True
With .DataSource
.FirstRecord = i
.LastRecord = i
End With
.Execute Pause:=True
End With
ActiveDocument.SaveAs strPath & "\Letter " & i & ".doc"
ActiveWindow.Close
Next i
End Sub