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I have a Visio document with three pages. I want to print them all separately with Adobe PDF printer, producing three files named (for example) “Page1.pdf”, “Page2.pdf”, and “Page3.pdf” automatically. I can do it manually (currently I'm getting a document called “Visio-Pages.pdf” with all of the pages; then I extract and rename each one), but I want to know if there is a macro, option, or similar method to automate the process.

I will also accept a solution that allows me to store the pages as separate Visio files with the names I set.

I'm using Visio 2010 on Windows 7.

You can use a commercial virtual printer driver, create a new profile with a file printer set to PDF and change the output of the profile to "Every page in the document is a separate transmission". If you configure the options you will see it has default: "Create per number of pages a new transmission"

This way you can have a different PDF file per page.
You can also name the PDF files and let it dynamically give it an output. By default it will already do "Printjobname - 0001.pdf", "Printjobname - 0002.pdf".

and in case your visio drawings are too big (e.g. A3) you can also automatically split them up using templates e.g. to split A3 landscape to 2x A4. (see example)