The easiest solution would probably be to install a PDF printer (such as PDFCreator: http://sourceforge.net/projects/pdfcreator/) and use the Print Merge feature to print to a PDF file, then use an application such as jPDFTweak (http://jpdftweak.sourceforge.net/) or pdftk (http://www.pdflabs.com/tools/pdftk-the-pdf-toolkit/) to burst the document into single pages if you need separate files for each diploma.
However, in the past I did this in a different way:
You can save the diploma template as SVG, which is just a text file, and use placeholder strings instead of names. Then, using a script that reads the list of names from a CSV (a text file format which you can save from Excel), you can use text search and replace functions to replace the placeholder strings in the SVG file with actual names. Finally you can use e.g. Inkscape from the command line to convert all the files to a different format.
Note that if you don't know any scripting language, the PDF printer solution will be easier for you; this answer is mainly intended for other people who might be using software without a dedicated Print Merge feature.
Here is an example Python script to generate the SVG files with replaced names. It expects an SVG diploma template called "template.svg" that contains text objects with the text FIRSTNAME and LASTNAME as placeholders, and a CSV file called "recipients.csv" with column names "FirstName" and "LastName" and fields separated by commas.
# coding: utf-8
template_f = open('template.svg', 'r')
template = template_f.read()
recipients = csv.DictReader(open('recipients.csv', 'rb'), delimiter=',', quotechar='"')
t = template[:]
nfiles = 0
def write_file(content, num):
output = open('diploma_%02d.svg' % num, 'w')
for recipient in recipients:
firstname = recipient['FirstName'].strip()
lastname = recipient['LastName'].strip()
t = t.replace('FIRSTNAME', firstname).replace('LASTNAME', lastname)
t = template[:]
nfiles += 1