You'll need to explicitly write your export in a data _null_ step but then you can use the FILEVAR option to split the files automatically. Here's an example based on the SASHELP.CARS dataset. Note the DLM option used to specify the delimiter and that the header names are explicitly defined. PROC SORT DATA=SASHELP.CARS OUT=CARS;
BY make;
RUN;
DATA _NULL_;
SET cars; *Dataset to be exported;
BY make; *Variable that file is to be split on;
*Create path to file that is to be exported;
if first.make then out_file=cats('C:\_localdata\temp\', trim(make), ".txt");
file temp filevar=out_file dlm='|' dsd;
*If first value of make then output column names;
if first.make then
put 'Make|Model|MPG_HIGHWAY|MPG_CITY';
*Output variables;
put make model mpg_highway mpg_city;
run;
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