If it were me...
I would select the list up to and including the paragraph return that
follows the last item. Then hit Table-->Convert-->Text to Table. Choose 1
column, don't change anything else.
Once it's a table, you can save it in your My Documents\My Data Sources
folder and close it. Then do a mail merge to the label of your choice: http://www.officearticles.com/word/mail_merge_labels_in_microsoft_word.htm
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Anne Troy www.OfficeArticles.com