The online software does not have prebuilt mailing labels. You have to create the labels. You can export your list, import into Excel, then do a label mail merge in Word.
To export your Returns to Excel, first navigate to the Returns tab of your Online software while signed in as Administrator. The click on the View More Actions drop down box and select Export Returns List and choose the XLS option.
After exporting to Excel, you will need to review Microsoft's directions on moving the information to Microsoft Word and then formatting it into mailing labels: