You choose a standard page size. Most labels are on an 8.5x11 sheet and in portrait orientation. So select that size if it's not already the default for the printer.
I've done labels on many Macs and number of printers. Most of the time, a template for the various Avery labels and their clones is available within the program that generated labels. I've not seen a printer setting for labels on any of the 5+ printers I've used to make labels, going back to Mac OS 6.
Example: In MS Word 2008, the is a menu choice in
Tools > Labels... that helps you set up labels. The screen will show an image of the layout you selected from the "Labels.." option. Word inserts section breaks and columns that exactly fit the Avery number you chose.
At that point you can fill in each label manually or, even better yet, use The Mail Merge function in Office to populate the labels with info from a spreadsheet or a Word table. It goes so fast that it's probably taken me more time for my challeged typing skills to hammer out this repsonse that to make a bunch of labels!
PageMaker and, later,Adobe InDesign have similar templates.
So what program are you using the make labels?
TIP: I have both a b/w laser and an ink-jet printer. I almost always use the laser for printing labels that will go though the mail. The reason: laser lettering is waterproof. If the the letter has ink-jet labels and gets wet, the ink on the labels will run and be harder for our postal employees to read and deliver.
Note that a laser printer requires a special type of label stock that will stand up the high heat inside the printer.
Allan
