When you close the list you are given the opportunity to name and save it as
an mdb format file. You can view or edit the entries from the wizard or from
the merge toolbar command. Or you can access the earlier mailmerge helper
(see http://www.gmayor.com/mail_merge_labels_with_word_xp.htm  ) the second
option of which will allow you to edit the data file, but interestingly it
converts it to a table in Word document format, which when saved, can also
be used as a data source for your merge.

Use the datasource for a Directory type mailmerge in the main document for
which you insert the mergefields in the cells of a one row table.  When you
execute that merge to a new document, you will get a table containing a row
of data for each record in the datasource.

You can insert a row at the top of the table and enter the fieldnames into
the cells of that row and then save the document and use it as your data
source if you wish.