Mail Merge (Word) with a Leads Campaign

Mail Merge (Word) with a Leads Campaign

Has anyone done an easy mail merge with MS Word and zCRM from leads?  I am setting up campaigns and want to incorporate direct mail in the campaign but haven't been able to figure out how to import a data set from CRM into Word without going through each lead line-by-line which defeats the purpose of mail merge.
 
Any suggestions?
 
Ken