I am interested in downloading variables for all of the countries at once, but I was wondering if there is a way to have the final extract be separate files for each country, rather than one big extract file.
Can I download data from all of the countries at once, and then have the extracts be separated by country?
No. Each extract is a single file. Please be parsimonious with your extracts. Only request what is needed for your research. While the data are free, users should be judicious in their extracts to not overload the system and to guard against unnecessary risks with respect to the user license.