Make mailing labels from a list of contributions?
You can get the same result by doing an advanced search for your contribution criteria and choosing 'display as contacts'? That will allow you to print out mailing labels as an action for the records that your recent contributions are attributed to.

Addition to the comment above:

As @petednz said you can only print mailing labels for contacts, currently. Below is a resource that may help towards developing custom actions if you want to attempt to cut out that extra step, although it may be a bit tricky because I believe most mailing label-type information is stored in the related contact table rather than in the contribution record itself.

http://wiki.civicrm.org/confluence/display/CRMDOC/How+to+Create+Your+Own+Action