Here's a DFSORT job that will do what you asked for. You'll need z/OS DFSORT V1R5 PTF UK90007 or DFSORT R14 PTF UK90006 (April, 2006) in order to use DFSORT's SPLIT1R function. If you don't have the April, 2006 PTF, ask your System Programmer to install it (it's free). For complete details on all of the new DFSORT and ICETOOL functions available with the April, 2006 PTF, see:
Note that if you have 1000 records or less and you don't have the April, 2006 PTF, you could use DFSORT's older SPLITBY=100 function. But if you can have more than 1000 records, SPLITBY=100 will rotate back to OUT01, so you'll need SPLIT1R=100 to handle the extra records correctly.