This will only work effectively if your label stock has labels in multiples
of three. Create a label merge source document (see
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm  ) Propagate the
labels then change the document type to Letters from the button on the mail
merge toolbar (left end button).

Now remove the {next} fields from the second label then the fourth and
fifth, seventh and ninth etc to the end of the page. If your label blanks
are not in multiples of three you will have to remove the next field from
the extra label/s at the bottom of the page, which will give you four of
five labels for one record per page. Change the last lines of the labels
without a next record field as required.

Merge to a new document and if you are worried about the waste, delete the
contents from the extra labels, then use the method at
http://www.gmayor.com/convert_labels_into_mail_merge.htm  to create a new
data file from the merged labels, then merge to a standard label merge using
the resulting data file.