Removing a switch loop?
Well, removing the switch is the easy part. All you have to do is:
1) turn off power to the box
2) you will see two black wires going to different poles of the switch. Unscrew/remove the wires and tie them together using a wire nut
3) turn on the power
Now the circuit will behave identically to the case when the switch is 'ON'
They will still be on the same circuit.

If you want each unit to be controlled by its own switch you have to run the cabling to the switch box:
1) cut out an opening where you want the switch to be and install an electrical box (plastic or metal)
2) run 12-2 (for 20A circuit) or 14-2 (15A circuit) romex from your switch box to the device box (e.g. light)
3) find the black wire of the original cable going into your device and tie it to the black wire going to your switch box using a wire nut
4) in the device box tie the white wire to where the black wire used to be. Tie the other end of the white wire in the switch box to the other terminal of the switch. Wrap a small piece of electric tape on both sides of the white wire to indicate that it is 'hot' (normally white is 'neutral')
5) repeat for every unit.