Not without changing the order of your data source. Word will always print
labels across the rows. Change to a directory merge and a two column format
and it will print the records down the columns (but they will not be
labels).

Here is a macro that will re-arrange the data source so that the labels will
be printed as you want.  Alternatively, if you are using Access and can get
the datasource into Access, it has a label wizard that that this capability.

' 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