I know I can use awk but I am on a windows box I am making a function for others that may not have awk. I also know I can write a C program but I would love not have to create maintain and compile something for a little vim utility I am making.
THe original file might be
THE DAY WAS LONG
THE WAY WAS FAST
and it would become
TT
HH
EE
DW
AA
YY
WW
AA
SS
LF
OA
NS
GT
UPDATE: Golf rules apply to selecting correct answer.
UPDATE: Python fans should check out Mr. Duffy's answer below.