Many reports can optionally include the mailing address so you can insert them in window envelopes for easy mailing. That way you don't need mailing labels. This option is available for Report Cards / Progress Reports, Login instructions for parents, Discipline notices, and Truancy notices.
If you need mailing labels for other purposes, you can export student and parent names and mailing addresses to a spreadsheet to use with your label template. Go to Setup > Import/Export > .