Não há um recurso interno no Word para fazer isso, mas você pode usar uma macro.
Sub MakeSepDocs()
Dim doc As Word.Document, rng As Word.Range
Dim newDoc As Word.Document, fName As String
Dim sep As String, nbr As Integer, sNbr As String
sep = Application.PathSeparator
Set doc = ActiveDocument
Selection.HomeKey Word.WdUnits.wdStory
fName = Mid(doc.FullName, InStrRev(doc.FullName, sep) + 1, _
InStrRev(doc.FullName, ".") - InStrRev(doc.FullName, sep) - 1)
On Error Resume Next
Repeat:
Set rng = doc.Bookmarks("\page").Range
rng.Select
Set newDoc = Documents.Add
nbr = nbr + 1
sNbr = Format(nbr, "00")
newDoc.Content.FormattedText = rng.FormattedText
newDoc.SaveAs2 doc.path & sep & fName & sNbr, Word.WdSaveFormat.wdFormatXMLDocument
newDoc.Close
DoEvents
doc.Activate
Selection.Collapse Word.WdCollapseDirection.wdCollapseEnd
If Selection.Range.Start = doc.Bookmarks("\EndOfDoc").Range.Start Then Exit Sub
GoTo Repeat
End Sub