Click on the Option link and from the dialog set No for the 'Add Page Break' option. This way you will not get a new page once the text in your document is merged for the record.
For example you can design this label:
To produce this:
NOTE: If you want a full-fledged add-on specifically designed for labels, the 'Label Merge’ add-on is more appropriate. Click here to install it.
Help (FAQ) >