The question says it all - I want to take a list object full of data.frames and write each data.frame to a separate .csv file where the name of the .csv file corresponds to
A couple of things:
laply performs operations on a list. What you're looking for is d_ply. And you don't have to break it up by day, you can let plyr do that for you. Also, I would not use names(x) as that returns all of the column names of a data.frame.
d_ply(df, .(theday), function(x) write.csv(x, file=paste(x$theday,".csv",sep=""),row.names=F))