What to do depends on exactly what format your data is in.

Graham Mayor's page at

http://www.gmayor.com/convert_labels_into_mail_merge.htm

is a good place to start, but you may for example need to export your data
in some way first (or you may need to merge it, use Graham's procedure to
split the fields out, then store the data back in Excel.

If the address data is in a multi-line field and is already laid out the way
you need it, you should be able to use that field directly, just like any
other MERGEFIELD field  (unless you find that the line ends don't come
across properly).