Right now, printing the mailing labels from the customer list is unavailable. Though, you can run the Customer Contact List report and export it to Excel.
Here are the steps:
On the left panel, click Reports.
Type Customer Contact List in the search box.
From the Customer Contact List page, click the Export icon next to print.
Choose Export to Excel.
Once exported, you can use the mail merge template in MS Word to create a mailing list.