How do I get Pentaho Reporting/Kettle to produce PDF reports by business entity?
Parametrize your report and make sure that your query is parametrized too. 
You can test your parametrized report inside the report designer.

Then use Kettle/PDI to feed the parameters to your report step, and once you produce the file, rename it or move it to the correct spot. 

Running several smaller reports also allows you to run multiple reports in parallel. The reporting engine is inherently single-threaded, so one report process occupies one core. If you have more than one core, I recommend to run ([number of cores] - 1) instances of the step for optimum performance.