I've just launched my new app, called Shop2Label. You can find it at http://www.shop2label.biz
It allows you to select as many orders as you want, and then generates a PDF of the order addresses ready to print on to Avery label templates!
I've added templates for the most common address label sizes, but if the app doesn't have the label template you want to use, let me know on here, or send an e-mail to firstname.lastname@example.org and I will add it as soon as I can!
I've done test prints of the labels the app generates, and they came out looking good, but before you print directly to any labels, I would recommend doing a test print to a normal piece of paper just to make sure the generated labels match up properly to your label sheets.
Hope this is helpful!