In Word '97 there are different wizards for "LABEL" and "Mailing label" on the "Letters & Faxes" tab of the "New..." pop-up (look for "New..." on the "File" menu) so the degree of automation might vary between them and between them and the "Merge Documents..." function on the "Tools" menu. I suspect the "Mailing Label" option has fields already set up for address labels and offers a selection of label sizes and quantity per sheet (probably by label manufacturer product numbers). The regular "LABEL" wizard (Office '97 uses all caps) might
have more flexibility while allowing multiple records per sheet. See my earlier post about moving the insertion point around the Word document and clicking the drop down on the merge toolbar to insert a field where the insertion point is.
The illustrations in one of the books I was looking at had a button on the merge toolbar for switching between a view for editing the document (including the field names which show as <<City>>, <<State>> etc.) and a view showing actual data from the spreadsheet (Los Angeles, CA etc.). The way the title bars looked in that book might reflect their being captured from a computer running a version of Windows prior to XP.
I can't do much in the way of experimentation without setting up a database to merge with a Word document. Even then, there are so many Office versions between mine and yours we won't know how many differences there would be in the details, including which multiple label sheets are still available in retailers.