If it's just one sheet and you only need to do it once, then do this.
In the Labels dialog, select the correct product number for your label
stock, leave the Address box empty and click the New Document button.
The document you get contains an empty table -- if you can't see it,
click Table > Show Gridlines. Type each label into one cell of the
table. The cell edges will match the edges of the labels on the
printed sheet.