Name Individual Mail Merge Documents from Excel List

I have VBA (below) that correctly creates individual documents from a mail merge, based on my excel list. What I want to do is name the files I create, with the addressee's name in the individual document. (i.e., file created for John Doe needs to be saved as "John_Doe") Does the code I have below need to be edited, or is this something I would initiate in Excel with VBA?

Thanks

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Kaper,

Thanks for the response. Attached is a sample of what my Mail Merge data looks like.

My process is this: Initiate Mail merge in Word, using data from Excel. Save Mail Merged documents as one file. Run macro from Original Post in Word, to create separate documents.

If keeping the workbook open is the easiest way to handle my request, that would be preferred.

Thanks!