I had the same question and have since learned that you don't do labels with Pages. Instead you print labels from Address Book. Print, style = Mailing Labels.
Well, you'd use Address Book if you wanted to make address labels, to stick on envelopes and parcels.
But what if you want to make paper labels, to drop into the little label windows on Folders/Binders, DVD boxes and CD boxes? I'm not entirely sure how you'd do that in Pages. In Microsoft Word, you'd make a white text box with the required dimensions, give it a black 1 point border, and then type some black text within it. Then copy that "label" 4, 6, 8 times on the same A4 page. Then print out the A4 page and cut around the label borders with some scissors.
Hi romor,
Another 'basic' solution is to use Pages>Page Layout>Business cards. All you need to do is delete any place marking icons and compose your own labels, and, since it's based around Avery software, you can probably purchase the appropriate Avery stationery from any Staples store, such as self-adhesive labels.