Tutorial
In the Control Panel, under 'File Import/Export' choose 'Export Mailing List' or 'Mailing Labels by Date.'
Exporting a mailing can be found under File Import/Export Export Mailing List
Creating Mailing Labels can be found under File Import/Export Mailing Labels by Date
This will allow you to have a list of shipping addresses for specified parameters which can be used for a mail merge or shipping labels.