You can do it with a Macro. In my example I have a separate macro called CreatePDF that converts and saves the current file, and a text file temp.txt that contains the list of documents to be converted.
Sub ConvertAll()
Dim fname As String
Dim doc As Document
Open "c:\temp\temp.txt" For Input As #1
Do While Not EOF(1)
Line Input #1, fname
Set doc = Documents.Open(filename:=fname, ConfirmConversions:=False, ReadOnly:=True, _
AddToRecentFiles:=False)
doc.Activate
CreatePDF
doc.Close SaveChanges:=wdDoNotSaveChanges
Loop
Close #1
End Sub
I prefer to use Word to do this sort of thing, as there won't be any wonky formatting issues.