Mail merge in Word for Mac

I am trying to create a mail merge of labels from a specific contact list. To create the labels I am using Word for Apple. I can get as far as the merge section but instead of the various names and addresses on one page (divided in the specific label sections) I get one name and address on each single page. Essentially what I am trying to do is put all these contacts on address labels which I can then peel off and use them to address my Christmas cards. Can anyone give me directions?

Thanks!