e.g. say you had an SDF, test_mols.sdf, with 8 molecules in it and you wanted individual mol files:
> csplit -kzsf "test_mols" -b %0d.mol test_mols.sdf /\$\$\$\$/+1 {*}
This would result in 8 files called test_mols00.mol through test_mols07.mol. Unfortunately these would still contain the SDF delimiter at the end of the file (so, technically these are still SDFs). That's pretty easy to clean up with something like:
> perl -ni -e 'print unless /\$\$\$\$/' *.mol
See the csplit manpage for more details.