I've done this numerous times using Illustrator - just measure the label page and set up guidelines. But I've only done this for making stickers for short-run mailings, not proper "mailing labels ...

When a business, organization, or individual wants to create a consistent document such as forms, letters, or mailing labels that are identical except for specific information, such as the ...

Although Office can’t lick stamps or put your invitations in the mail, it can make the laborious and time-consuming task of creating labels much easier and faster.