I guess the most efficient way would be to export the data using ADO.

If you export each sheet as patel explained, you can use this method providing you did not add a header/fieldnames row.
[SOLVED] Import multiple files from same directory

Code:
'http://spreadsheetpage.com/index.php/tip/getting_a_list_of_file_names_using_vba/
Sub MakeCSVMasters()
    Dim p As String, x() As Variant, i As Integer

    p = ThisWorkbook.Path & "\?-?????? *.csv"
    x() = GetFileList(p)
    Select Case IsArray(x)
        Case True 'files found
            'MsgBox UBound(x), , "Count of Found Files"
            'Sheets("Sheet1").Range("A:A").Clear
            'For i = LBound(x) To UBound(x)
            '    Sheets("Sheet1").Cells(i, 1).Value = x(i)
            'Next i
            MakingCSVMasters ThisWorkbook.Path, x()
        Case False 'no files found
            MsgBox "No matching files"
    End Select
End Sub

Sub MakingCSVMasters(pPath As String, a() As Variant)
  Dim x() As Variant, y() As Variant, xv As Variant, yv As Variant
  Dim z() As Variant, zv As Variant, i As Integer, s As String
  
  x() = UniqueArray(a)
  'MsgBox Join(x, vbLf)
  
  ReDim y(LBound(x) To UBound(x))
  i = LBound(x) - 1
  For Each xv In x()
    'MsgBox Join(Filter(a(), xv, True), " ")
    'Add Parent Path, pPath, and embed quotes around full file name
    'and bulid string for COPY
    s = vbNullString
    i = i + 1
    For Each zv In Filter(a(), xv, True)
      '+ sign is the COPY concatenation operator
      s = s & "+" & """" & pPath & "\" & zv & """"
    Next zv
    y(i) = Right(s, Len(s) - 1) 'Trim first "+" character
    'MsgBox Join(y(), vbLf)
  Next xv
  
  For i = LBound(y) To UBound(y)
    s = "cmd /c Copy " & y(i) & " " & """" _
      & pPath & "\Master_" & Left(x(i), 8) & ".csv" & """"
    'Debug.Print s
    Shell s, vbHide
  Next i
End Sub

Function UniqueArray(inArray() As Variant) As Variant
Dim it As Variant, sn() As Variant, c00 As Variant
  With CreateObject("scripting.dictionary")
      For Each it In inArray()
          c00 = .Item(Left(CStr(it), 8))
      Next
      sn = .Keys ' the array .keys contains all unique keys
      'MsgBox Join(sn, vbLf) ' you can join the array into a string
  End With
  UniqueArray = sn
End Function


Function GetFileList(FileSpec As String) As Variant
'   Returns an array of filenames that match FileSpec
'   If no matching files are found, it returns False

    Dim FileArray() As Variant
    Dim FileCount As Integer
    Dim FileName As String
    
    On Error GoTo NoFilesFound

    FileCount = 0
    FileName = Dir(FileSpec)
    If FileName = "" Then GoTo NoFilesFound
    
'   Loop until no more matching files are found
    Do While FileName <> ""
        FileCount = FileCount + 1
        ReDim Preserve FileArray(1 To FileCount)
        FileArray(FileCount) = FileName
        FileName = Dir()
    Loop
    GetFileList = FileArray
    Exit Function

'   Error handler
NoFilesFound:
    GetFileList = False
End Function