Here's a message Doug RObbins posted a while back, followed by some notes by
me:

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If your data source is an Access database, it has a label report wizard that
will allow you to do that.  If the data source is a table in a Word
document, the following macro will sort the data so that the labels are
printed in the order that you want:

' Macro to assign numbers to data source so that it can be sorted to cause
labels to print down columns
Dim Message, Title, Default, labelrows, labelcolumns, i As Integer, j As
Integer, k As Integer
Message = "Enter the number of labels in a row"    ' Set prompt.
Title = "Labels per Row"    ' Set title.
Default = "3"    ' Set default.
' Display message, title, and default value.
labelcolumns = InputBox(Message, Title, Default)
Message = "Enter the number of labels in a column"    ' Set prompt.
Title = "Labels per column"    ' Set title.
Default = "5"    ' Set default.
labelrows = InputBox(Message, Title, Default)
ActiveDocument.Tables(1).Columns.Add
BeforeColumn:=ActiveDocument.Tables(1).Columns(1)
ActiveDocument.Tables(1).Rows(1).Range.Cut
k = 1
For i = 1 To ActiveDocument.Tables(1).Rows.Count - labelcolumns
   For j = 1 To labelrows
       ActiveDocument.Tables(1).Cell(i, 1).Range.InsertBefore k + (j - 1) *
labelcolumns
       i = i + 1
   Next j
   k = k + 1
   i = i - 1
   If k Mod labelcolumns = 1 Then k = k - labelcolumns + labelcolumns *
labelrows
Next i
ActiveDocument.Tables(1).Sort FieldNumber:="Column 1"
ActiveDocument.Tables(1).Rows(1).Select
Selection.Paste
ActiveDocument.Tables(1).Columns(1).Delete

If the data source is not a Word document, use a catalog (or in Word XP and
later it is called directory) type mailmerge main document to get the data
into the form of a Word table so that you can then use the above macro.
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If you have Access, it should be fairly easy either to link to or import
your Excel data.

Another way to create a Word document containing your data in a table is to
copy/paste your Excel sheet into a blank Word document.

Peter Jamieson