I've made several screen captures so I can show step by step what I'm doing to get the result I want.

#1
#1 shows that I've selected a view showing the records I want to make labels from and the settings chosen. It also shows that I've chosen labels. I now click on OK.

#2

#2 is self explanitory and I click OK.

#3

#3 shows the Mail Merge Helper and I've clicked on Setup. I click OK after choosing the label type (Avery 5160 is the typical 30 label style).

#4
#4 Now, instead of Setup, you'll see Edit and the "tip" will show Document 1 as on this screen. Next, click on Close to dismiss the MailMergeHelper.

#5
#5 If you have MailMerge Use Address Book on your toolbar, do NOT make the mistake I made in using that. See instead #11.

#11
#11 Click on the Insert Merge Fields icon (circled), and put the dot in Database Fields vs Address Fields. Now all of your Outlook fields are available. In this example, I'm choosing Full Name, and Mailing Address. The reason for Mailing Address instead of individual address componants is simple. Sometimes the address I want to send Christmas cards to is a home address, sometimes a business address. In Outlook, I have a checkmark in the primary address. Mailing Address will check the whichever address has that checkmark. Mailing address automatically puts the line break for the address line and the city state zip line.

#12
Now click on the "Propagate Labels" icon (marked in red as 1), then on the "Merge To New Document" icon (marked in red as 2)and then you'll get #13

#13 "All" is chosen as default and that's what you want, so click OK and you ta-da! you'll have your mailing labels. I'm not doing a screen dump of that simply for the privacy of those I have in my Outlook Contacts.

Thanks to Graham Mayor and Russ Valentine for their help in finding out what I was doing wrong initially. See the thread at microsoft.public.outlook.contacts for links to Graham's website.