CollectMax allows users to setup custom mailing labels to be printed separately or in conjunction with a document.
Because each version of MS Word is different, be sure and select the proper instructions when creating the label.
Setting up a MS Word label template and user preferences
How to Create a Mailing Label Definition
Generating a MS Word mailing label
How to Create Word XP/2003 Mailing Labels
How to Create Word Vista/2007 Mailing Labels