V posledním odstavci máš návod, jak to tam vložit.

It is not a built-in feature.

However, if you run this code, it should do the job.

Sub SaveSheets()
Dim strPath As String
Dim ws As Worksheet

Application.ScreenUpdating = False

strPath = ActiveWorkbook.Path & "\"
For Each ws In ThisWorkbook.Sheets
ws.Copy
'Use this line if you want to break any links:
BreakLinks Workbooks(Workbooks.Count)
Workbooks(Workbooks.Count).Close True, strPath & ws.Name & ".xlsx"
Next

Application.ScreenUpdating = True
End Sub

Sub BreakLinks(wb As Workbook)
Dim lnk As Variant
For Each lnk In wb.LinkSources(xlExcelLinks)
wb.BreakLink lnk, xlLinkTypeExcelLinks
Next
End Sub

To run the code, do the following:

Open the VBA editor (Alt+F11)
In the tree in the top left corner, right click on your workbook and insert a new module
Copy the above code into this module
Close the VBA editor
In Excel press Alt+F8 to run macros and select SaveSheets