Of course it is!
See http://www.gmayor.com/mail_merge_labels_with_word_xp.htm

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Graham Mayor - Word MVP
My web site www.gmayor.com
Word MVP web site http://word.mvps.org
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> In earlier versions of WORD it was simple to create data fields,
> enter them into a document data file and then merge the data into a
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>
> http://www.microsoft.com/office/community/en-us/default.mspx?mid=57b55b38-8099-4
526-a2be-fa88c13c1b31&dg=microsoft.public.word.mailmerge.fields