Printing mailing labels is done using the Mail Merge feature from the "Apply to" dropdown menu on your Leads List screen.
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.
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.