Why don't you just use Access to create the labels.  It has a wizard to do
it in the Reports section.

Your problem with the way that you are trying to do it is that you are
merely pre-viewing and printing a preview of the result of the merge, rather
than actually executing it.  If you want to persist with Word, I would
suggest that you display the Mailmerge toolbar by selecting Toolbars from
the View menu and clicking on that item.  On the right hand end of the
toolbar are buttons for executing the merge to the various locations to
which it can be sent (printer, new document, email)