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There is no concept of "sheets" for a .csv file. It is a "plain text" file that uses comma seperated values. If you are trying to write to a spreadsheet file (for example: Microsoft's Excel), then this is completely different and would also have a different file extension.
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What they said. I'd also like to add that a relativly easy way to do this is to write your files as TDMS which does support 3 dimension data (not just rows and columns) and when using the free TDMS add-in it can open TDMS files into multiple tabs.