This is Ren from the Shopify Support team, thanks for reaching out with your question.
When it comes to shipping labels, you have the option to print shipping labels directly from the admin. The sizing/format comes in either 4x6 if using a label printer or 8.5x11 if using a standard desktop printer. Opting to use a label printer will definitely speed up your packaging process as you can print directly onto the adhesive sheets that come with your printer.
I recommend using the Dymo XL as this is the one I personally use and find it to work quickly and efficiently for printing my labels.
In the event that you're only interested in printing address labels because you are self-stamping your packages, you can find a workaround solution to printing these smaller labels on this Community forum post here.
If you are interested in exploring some of the label printers available through Shopify (for guaranteed compatibility), check them out in our Hardware store here. These include brands such as ad Dymo, Rollo, and Brother. Let me know your thoughts!
Do you have any other current roadblocks to getting started that I can help you with?