I am not familiar with Office for Mac 2011 but, if it is at all similiar with any of the Word series (2003 - 2010) software, once you select your label type, it should have a tab at the bottom of the menu for "New Document". If it does, select the New Document and a full page grid of the label selected should appear.

Again, I am clueless to Office for Mac processes but, you can give it a try...