Can I get a refund for my iPhone if I don't have a shipping label?

If you purchased from Apple directly you can print the return label. Assuming you are in the US look at the following link for steps to follow to setup return and how to ship back.

Returns & Refunds - Shopping Help - Apple

the shipping label for the return is usually underneath the label addressed to you on the box.

I obviously missed the part that you are wanting to return a phone rather than a trade in.

You cannot just send a phone back to Apple, there are steps you need to follow in KaeBFly's link. You can however return it to a store assuming you bought it directly from Apple.