Labels as such are not Excels thing, more of a Word issue. I would suggest that the data source be used in excel [ this can also be word I add] and use the labels wizard in word to take over, all the labels settings {Avery] and custom are there, its easier that way.
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To answer the Op you made re Excel and label, yes this can be done, I am working on a nifty template for this soon as finished ill post as an attachment on this site for all to see and VBA does the magic.
Conclusion – Word does this in a snip
HTH
JITUK
BTW I guess with the correct syntax this calling of Words dialog box will be made, but begs the question, you still be using Word to process this??