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On step 2: Document Options of the Create Documents process, there is a section called File Management. In that section is a field called Combine Documents - Sort By. This field typically defaults to Sort Name. This causes the letters to be exported out in alphabetical order by last name. You do have the option to change it to Postal Code so the letters will export out in numberical order by Postal Code. This can make it easier if you need to handle the mailing of different postal codes differently.
Currently if you just the Postal Code option it does not sort the letters correctly. You will get the letters, just not in order by postal code.