@AlexDuggleby: you don’t need to copy the worksheets, you can save them directly. e.g.:
Public Sub SaveWorksheetsAsCsv()
Dim WS As Excel.Worksheet
Dim SaveToDirectory As String
SaveToDirectory = "C:\"
For Each WS In ThisWorkbook.Worksheets
WS.SaveAs SaveToDirectory & WS.Name, xlCSV
Next
End Sub
Only potential problem is that that leaves your workbook saved as the last csv file. If you need to keep the original workbook you will need to SaveAs it.