It can be done, though it's tricky to get the formatting correct.  I would recommend not using the label wizard.  Instead, start with a blank report.  First do a page format and make your top, bottom, left, right margins the same as the label page.  Then in the section expert, select 'format with multiple columns'.  This adds a tab to the section expert called 'layout'.  Here is where you will enter the horizontal and vertical space between labels.  This is also where you select 'format groups with multiple columns'.  Doing this will allow you to print group information in label format.  However, in order to format correctly, you will need to suppress the detail and any subgroup sections.