The purpose of a mail merge is to allow you to print out a mailing labels for all or a selected group of your leads. If you wish to only print out a portion of your leads simply create a view or use an existing one. You can use filters to specify exactly what results you would like to produce in each view. To do this with ALL your leads simply remove any filters or views so that you are looking at your entire list of leads ("All Leads" view).

From the drop down menu under type choose mail merge, then choose your mailing label format from the available ones presented in the dropdown menu, then select run to download your selected list in a PDF document. From there you can print out the labels. Make sure your printer is set to print at 100% NOT "fit to page," otherwise the bottom few labels will not print correctly on the page.