Here is the way to do it.  Some of you got me on the right track.

1) On the Proseries top bar, select Homebase, then "export contacts".  (Don't use "export custom views")

2) The file will be located in C:\prowin22\common\exports\contacts

3) Open that file and remove all columns except column A.  Save the file as an Excel workbook.

4) Follow the instructions in this excellent Youtube video by a Microsoft employee:

   https://www.youtube.com/watch?v=zSwI4mgEYtg

5) It is still difficult to do. You have to fix the address box/match fields, otherwise its blank.  Then you have to update all labels, then edit individual labels, then print this file, not the original word file.