That's a page length or margin problem, in my experience. Try different settings (in the design view of the labels, choose Page Settings). If you've got letter format, it might help to choose legal and use a few inch bottom margin for example.
I suppose you can see the effect of your settings in Print Preview, so you won't spill paper.
Hope this helps,
I have created a label report using the wizard. The Avery form has 3 labels per line and 10 lines. BUT it only prints on 27 per sheet: 9 lines wasting 3 labels per sheet. I don't miss any names but do waste labels.