At best, a macro will save just two mouse clicks in this case - one to answer 'Yes' to the SQL prompt, the other to choose the destination (e.g. printer vs new document). The macro also wouldn't let the user choose which records to process if only a few labels were required.

The reason your macro doesn't work as expected is that it lacks any code to tell Word that it's a label merge. Furthermore, you're adding a single mergefield to the document and are not propagating that to all the labels. It also seems clear to me that you're not actually starting off with an empty document - it already has the empty labels in place. Had you populated the labels manually (again, a once-off exercise), there'd be no need for your code to add any mergefields or to propagate them to all the labels.

The last thing to note is that, if your user was to save the document after running your macro, it would now be a mailmerge main document and would thus generate the SQL prompt next time the document is opened...

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]