In that case you have (at least) three options:
1. In the Envelopes and Labels dialog, click New Document to get a sheet of
labels on which you can type directly. They're set up as a table, so be sure
you have table gridlines displayed (Table | Show Gridlines) so you can see
the label boundaries. You'll get only one page to start with, but when you
tab out of the last label on the page, you'll go to the next page with a new
row.
2. Convert your list to a mail merge data source. This can be a simple
table. Use Table | Convert | Text to Table, separating at paragraphs. For
this purpose you'll want a single-column table since you'll be using a
single field for your mail merge.
3. Convert your list to labels directly:
a. Look at the label definition (or measure the labels themselves) to
see what the outside margins are (looks like 0.5" top and bottom and 0.19"
on the sides), and change the margins of your list document to match.
b. Use Table | Convert | Text to Table, separating at paragraphs and
choosing three columns (since your labels are 3 x 10).
c. Measure the labels (or get the measurements from the label
definition). In this case they are effectively 1" x 2.75". Use Table
Properties to set the cell height and width appropriately. (Note that the
label definition created by word inserts a narrow column between the label
cells to represent the space between the labels. You can make up this
difference with indents.)
d. Select the entire table and center the names horizontally and
vertically, then change the font style and size as desired.