If you want to save each worksheet of a workbook as separate new workbook and then save the new workbook with sheet name.
Download Working File
Here is the code-
Dim wk As Worksheet, wkb As Workbook
' loop through each worksheet
For Each wk In ThisWorkbook.Sheets
' save it in new workbook
' save the new workbook with sheet name
ActiveWorkbook.SaveAs ThisWorkbook.Path & "\" & wk.Name & ".xlsx"
' close the newly created workbook