In order 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 you can 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 software.