Pandas DataFrames have a to_json method that will do it for you:
http://pandas.pydata.org/pandas-docs/stable/generated/pandas.DataFrame.to_json.html
If you want each row in its own file you can iterate over the index (and use the index to help name them):
for i in df.index:
df.loc[i].to_json("row{}.json".format(i))