How can I print labels from selected records in Access?

Create a query that returns the records you have selected.

Create a report using that query as its recordsource. Base the report on the label template in Access.

Print the report to a printer loaded with the appropriate labels.

As George has said, you need to create a labels report using the built in report wizard in Access.  For examples of how to select multiple records to be returned in the report take a look at DatabaseBasics.zip in my Dropbox public databases folder at: 

https://www.dropbox.com/scl/fo/0scigd3r48hx5xrev2jrf/AB0-GMdTgMAO5O1cGdr3QW0?rlkey=ib6bs6g9jqcrywwzivur3265t&dl=0 

In this little demo file the first form in the section on 'retrieving data from the database' illustrates two methods of selecting multiple records in a multi-Select list box: 

The first method builds a value list of the primary key values of the selected records in a hidden text box in the form.  This is then referenced as a parameter by the report's RecordSource query, using functions from the basInParam module in the database. 

The second method again builds a list of the primary key values of the selected records, but in this case as a set of OR operations. It then passes passes the string to the report as the OpenArgs argument of the OpenReport method.  In the report's Open event procedure the report's OpenArgs property is then used to amend the report's RecordSource property in code, so that it returns only the selected records.