I'm not sure if you meant "date format" or "data format" above.(?)

Office programs are, to some degree, "regionalized" based on where they're purchased. You may be able to get a result closer to what you want by just changing the "language" set in Word Options/Preferences or whatever it was called in Word 2003. (Choosing UK English instead of US English may have an effect.)

Options that you set in Word generally control what all the other Office programs do.

Your "template" has to tell the merge process which data items go in what places on the label, and as long as the postal code is a separate item you should be able to put it where you want it on the label and Word should put it where you tell it to.

Most "experienced" wp operators probably don't use the Wizard that's built into Word. If you figure out how to type the proper information into the necessary fields, it's easier and quicker just to keyboard the whole thing; but the process is just barely complex enough that you likely do need to do a bit of study to be able to rip 'em off (labels & addy lists) fluently.

John