Hi @learning_JSL ,
Yes, when you call the Save or Save As function in JSL, you can set the name. If you do this iteratively, you can put it all within a larger For loop and it can do it all automatically for you. Now that I think about what you're doing with the data, it almost seems like you're doing something similar to K-fold cross validation. If you are, many of the fit platforms in JMP will handle that very easily. Depending on the modeling platform, you might select it as a cross validation option, or you might have to make several k-fold validation columns, as is needed in XGBoost. Either way, you can create a validation column with training, validation, and test columns, and you can stratify the validation column based on the response column, or factor columns, however it works best for your situation.
On a side note, if you are going to start scripting things to save time, I highly recommend using the Scripting Index (Help > Scripting Index) to help you. You can search commands, and there are examples of how it's used to perform those actions/commands.
Hope this helps!,
DS