The easiest way to go about what you're after is to use the /outxsl or /applyoutxsl commands to add a reference to or apply a stylesheet to your output report (generated via the /out switch). You would then simply create an XSL that restricts output to the appropriate severity level. Note that we don't have support, currently, for associating a stylesheet with one occurrence of the /out switch (you can specify multiple outputs on the same command-line). This is probably an oversight. It'd be quite helpful if you could perform this file split in a single analysis.
The other approach would be to simply parse our report or project XML on your own. This isn't ideal, since this format will likely change in the future and you'd need to alter your code in order to update FxCop and keep your system running.
