In Word 2003:
1. Open the finished merge document, and go to the Edit menu. Choose Find, then select the Replace tab in the window that appears
2. In the Find What field, type ^b
3. In the Replace With field, type ^m
4. Click Replace All
In Word 2007/2010:
1. Click Replace on the Home tab, the Find and Replace window appears.
2. Click More button to pop-up more options; see below screenshot.
3. Place the cursor in the Find What field, and select the Section Break from the Special pull-down menu
4. There will be a “^b” character in the "Find What:" field.
5. Put "^m” in the "Replace with:" field.
6. Click Replace All.