Mail merge has taken the contact list and added it to the label sheet. This is much less time-consuming than typing each address separately.
Now look at your labels using the preview (step 5). If it's not what you expected, that's okay—you can go back and make changes.
In the final step, you'll print your labels. Before you print them, however, you have the option to do a last-minute edit to individual labels. Word will copy all the labels to a new document, where you can then edit them individually. You'll see how to do this in the practice session.