Many thanks for your help with this.  In the end the workaround was more
straightforward.

What was happening was there were margin and printer tray selection problems
in the (for want of a better word) prototype merge label document. These were
being reflected on every seperate section (page) of the final "merge to new
document" document.  He tried to fix the problems in the final document by
applying the "page setup" options to the whole of the document (all 250
sections) but Word would not let him do this, it was only permitting him to
change it one section at a time.

By introducing section breaks he was unable to print a couple of pages as a
test because each page was effectively "page 1" of a new section and
therefore asking it to print, say, pages 1-4 would prompt it to print the
whole document because each page was effectively "page 1" (doh...!)

He tried to fix this by deleting  the section breaks between each page, but
Word would not let him do this either.  I caught him just as he was about to
throw his laptop out of the window!

The solution was to fix the "page setup" margin and printer tray options in
the prototype document before he proceeded to merge to new document.  The
fixed margins and printer trays were now reflected in each section and the
document printed as planned.

As an aside, before we found this fix, he had sent the problem 250 page
document home by e-mail.  He opened it up on his home computer in Word 2000
and it printed fine with no problems.  It also permitted him to delete the
section breaks and to make changes to all of the sections at once.  These are
all problems that have been introduced with Word 2003.  Mail merge is the
main reason he uses Outlook and Word.  As you can imagine, he is not very
amused!

He is seriously considering scrapping Office 2003 and reverting to Office
2000 as he has yet to find any advantages at all in the newer version.