Use a Catalog (or in Word XP and later it is called Directory) type mail
merge main document.  Set the top and bottom margins to match those of the
label that you want to use and Format the document with the appropriate
number of columns (Format>Columns) and then in the first column, insert a
single cell table whose dimensions match those of the labels that you are
using.  Execute the merge to a new document.

Or if your data source is a table in a Word document, you can run the
following macro on the datasource:

' 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