Export to .csv

I am trying to create a macro that takes a workbook that has multiple worksheets and saves all the worksheets as .csv files.

Dim wks As Worksheet
    For Each wks In ActiveWorkbook.Worksheets
        With wks
            Application.DisplayAlerts = False
            .Copy  
                ActiveWorkbook.SaveAs _
                Filename:="C:\My Documents\" & .Name & ".csv", _
                FileFormat:=xlCSV, CreateBackup:=False
            Application.DisplayAlerts = True
            ActiveWorkbook.Close savechanges:=False
        End With
    Next wks

When I do this, I get an error:
"Method Save As of object '_WorkBook' failed"