Ah, sorry I wasn't clear. I assumed that one knew the (small) set of possible column values to be used as filenames. If you do not know this set of values, my method may still be faster, but prescanning the table will add some time to the execution.
Once you have established a hashmap from column values to filehandles, then you can print to the desired filehandle. I expect a single hash lookup to be much faster than a pair of system calls for opening and closing files; in addition to the OS bookkeeping and disk IO overhead for opening and closing, each file buffer is flushed (and, depending on the OS and filesystem, the disk is written to) for every line written.
Another completely different method is to append the lines to different strings, one for each column value. Then write them all the strings out to files after the loop.
