How do I make labels in Apple Pages?

Avery (in the U.S.) has blank label templates in many different formats including for current Pages versions. For instance 5160 address labels:

When you click that WePrint link, it will take you to a page where if available, you can download the 5160 Pages template.

However, lacking any built-in Mail/Data merge functionality, Pages v11.2 would require you to create your own label item (probably grouped items), and then duplicate it to other label positions in that template. Doable, but no fun at all.

Avery also allows you access to their online Design & Print functionality which precludes the use of Pages, and might be more conservative with your time and productivity.

Apple's Contacts application allows you to generate labels from its print panel, where you can drive the label generation from a selection of members in a custom contact group that number the label count on a sheet, or if just for you, duplicates of your contact info in a custom group, again in quantity to fill out a single label sheet. The Contacts application will even allow you to import a CSV from Excel or Numbers into a custom contact group for the preceding purpose.

See Contacts User Guide for Mac - Apple Support