You can do this when saving a new document.
Step 1: Click Security Templates
Step 2: Choose Private
You can also do this to an existing document.
Step 1: Check the box next to the Document and Click More
Step 2: Click Modify Access
Step 3: Highlight the Default Group, Click Remove, and then Apply.
You should be the only person listed. If you are not listed, you will need to add yourself and remove everyone else.