To run mailing labels, you must have a database entry. UltimateTax does not create a database entry until you create the actual return.
To do this, you can either pull up your prior-year UltimateTax program and run mailing labels out of it or run the mailing labels report from the Non-Returning Client Log. To do the latter, you first run Prior Year Carryforward. Before beginning any returns, run the Non-returning Client Log option from the Database menu in the current year's software, and then select the Mailing labels option.
This information applies to all years of the UltimateTax Desktop software.