Labels are formatted in Normal style. You can change that style as you wish.
In the Modify Style dialog box, use "Add to template" (or "New documents
based on this template" in Word 2007) to transfer the modified style to the
attached template.
Note that if you are using Word 2007, it will be better to change the
document defaults: In the Styles pane, click Manage Styles; on the Set
Defaults tab, choose the desired font and other settings that you want.
Before clicking OK, select the "New documents based on this template"
option.