Mail Merge Labels

The following macro will work with any data source; it does so by modifying the mailmerge output and inserting however many empty rows of labels are required. With this approach, you should never lose more than a few unused labels - from a partly-used row.

Sub MailMergeToDoc()
Application.ScreenUpdating = False
Dim i As Long, j As Long
j = CLng(InputBox("How many rows of labels have been used on the first sheet?", "Skip used labels"))
ActiveDocument.MailMerge.Execute
With ActiveDocument
  For i = .Tables.Count To 2 Step -1
    .Tables(i).Range.Characters.First.Previous.Delete
  Next
  With .Tables(1)
    For i = .Rows.Count To 1 Step -1
      If Len(.Rows(i).Range.Text) = .Rows(i).Cells.Count * 2 + 2 Then
        .Rows(i).Delete
      End If
  Next i
  .Rows.AllowBreakAcrossPages = False
  For i = 1 To j
    .Rows.Add .Rows(1)
  Next
  End With
  '.PrintOut
  '.Close False
End With
Application.ScreenUpdating = True
End Sub

Note: You need to send the merge output to a new document, not direct to printer, but it can be printed from there. To automate that and have the merge perform like a merge to print, un-comment the lines:
  '.PrintOut
  '.Close False