Lots of people complain that in OpenOffice.org you only get one page of labels from the File > New > Labels wizard.
One way to get around that is to not enter the data manually; use a database and create a mail merge. Then you'll still just see one page in the label document but OpenOffice.org will print as many sheets of labels as necessary for the data.
However, if you do want to manually type two or more pages of labels, here's what I recommend. Use the labels from WorldLabel.com. They're composed of invisible-border tables so it's easier to just create a new page, then copy the table and paste
it onto the new page.
For more detail on that, see http://www.freesoftwaremagazine.com/articles/free_open_document_labels?page=0%2C2 and find the section called Copying the first page to make additional pages.
To see the whole article on using WorldLabel and regular label templates, click here.