You could try Graham Mayor's article at

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

When you get to the point where you have created a table, you can use
Edit|Copy in Word and Edit|Paste in an empty Excel sheet. You may need to
get rid of some of the table formatting after that.

However, if you need each column to correspond to a particular item in the
address (e.g. county, postcode etc.) then you would have to do more than
that (probably edit by hand), unless your addresses all follow exactly the
same pattern, e.g. the U.S. pattern of Street, then City, State Zip

Peter Jamieson