While you can copy your Excel data and paste it into a Word document you
would have to do some work to format the data to print on labels, not
impossible necessarily, but not a straight forward copy/paste.
When you copy data from Excel and paste it into Word the Excel data is
pasted as a table. Since Word uses tables to layout label grids you could
then format the table to conform to the dimensions of the label you want to
use.
On the other hand, doing a mail merge lets you select the Avery label size
you wish to print, Word dimensions the table accordingly, and all you have to
do is place the merge fields in the order that you want them to appear on the
label.
Personally, I would do the merge. Word's help facility will provide you
with enough information to get started and you can google Word Mail Merge
labels, or something along those lines, and get more on-line help than you
could ever want.
Good luck...