You might adding something like the following to your mailmerge main document:
Sub MailMergeToDoc()
Application.ScreenUpdating = False
Dim StrNm As String: StrNm = Split(ActiveDocument.Name, ".doc")(0) & " "
Const StrPath As String = "C:\filepath\"
ActiveDocument.MailMerge.Execute
ActiveDocument.SaveAs2 FileName:=StrPath & StrNm & Format(Now(), "YYYYMMDD") & ".docx", _
FileFormat:=wdFormatXMLDocument, AddToRecentFiles:=False
Application.ScreenUpdating = True
End Sub
Change 'C:\filepath' to your preferred path.