It should work as long as you don't use custom paper sizes. Whether it is easier is debatable, as Word already provides the formatting as I described.
You might be interested in
http://www.gmayor.com/Envelope_Label_Add_In.htm which will mark the position on the merge fields on the envelope, though you will probably still have to setup the envelope template and manually add the return address as it doesn't cater for mixed fonts in the return address (I must make a note to see if I can address that).