After some trial and error, I am now able to answer my own question.
After calling setting up the correct property (Mailmerge.DataSource) and methods (in my case FirstRecord and LastRecord), what threw me off was that I actually had to wire the property to a method called �Execute�, the method that starts the MailMerge. After this method, you can wire the diagram as you normally would (Save and Quit Application), along with close application object.
I hope this helps for anyone who plans to use MailMerge in the future!
USCTrojan