Labels in Word are only tables with fixed cell dimensions.  So just create a
normal document with the desired paper size and layout and then use that as
a basis for a mailmerge.

If you are using XP or later, turn on the Mailmerge toolbar by selecting
Toolbars from the View menu and select the mailmerge item.  Use the left
hand button to select the type of mailmerge either, formletter of label will
do.  Then use the next button along to attach the data source, then use the
fifth from the left to insert the mergefields into each cell and use the
Insert Word Field button to insert a Next field before the first mergefield
in each cell except the first one on the sheet.  Then execute the merge to a
printer or a new document using the buttons at the right hand end of the
toolbar.