Go to Tools > Letters and Mailings > Mail Merge Wizard
(Resist the temptation to click on 'Envelopes and Labels' as it won't do what you want).
Underneath 'Select document type', click 'Labels'
At the foot of the screen, click 'Next: Starting Document'
Click 'Change document layout'. (It might already be pre-selected)
Click 'Label options'
Choose the product and product number for your labels. If you can't find what you want, and your labels are 3 across and 8 down, set 'Label products' to 'Avery A4 and A5 sizes', and 'Product number' to J8160 (or L7560).
Click 'OK'. You'll now see your page of labels. Type the first name on one of the labels. It will be automatically centred between the top and bottom of the label. You can centre the text between the edges of the label, and adjust the font type and size, in the same way as with any other word document.
Repeat for the other labels and then print as normal. (It's completely irrelevant that you've not completed the steps at the foot of the page. They only apply if you're merging names from a database)
Chris