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.