Saving multiple Excel files based on a list

• The error you get happens because the newly added workbook isn't closed and doesn't contain a sheet named "Master". This is solved with the point below.
• To prevent having to close all the newly created workbooks, I added a line to close them for you.
• Your path "/Users/kenth/Documents/exceltest/" doesn't have a station letter and contains forward slashes instead of backward. But you didn't mention this, so I guess it's just a sample path.

Sub SplitData()
Dim wbName As String
Dim lRow, x As Integer

lRow = Sheets("Names").Range("A" & Rows.Count).End(xlUp).Row

Do
    x = x + 1
    wbName = Sheets("Names").Range("A" & x)
    Sheets("Master").Range("A1").CurrentRegion.Copy
    Workbooks.Add
    Worksheets.Add
    ActiveSheet.Name = wbName
    Range("A1").PasteSpecial
    With ActiveWorkbook
        .SaveAs Filename:="C:\MyFiles\" & wbName & ".xls"
        .Close
    End With
Loop Until x = lRow

Application.CutCopyMode = False
End Sub