Mail merge with Pages (not working)

I want to use a Numbers spreadsheet as a data source for address labels (Christmas cards—a long story!), but I can't find out how to do it. I've looked up Help and on Safari for advice on what to do. The instructions I've found read:

Using Pages templates for mail merge

1. Open a Pages template on the Mac, such as a Letter
2. Click on the Document icon
3. Scroll to the bottom and select Mail Merge
4. Click on Merge... at the top of the pane that appears
5. Choose Contacts or Spreadsheet
6. If you choose Contacts, you can select a group
7. If you choose Spreadsheet, you have to then find that file
8. Click Preview to see what will happen
9. When you're happy with the Preview, click on Merge

When I try to follow this, I get as far as step 4, then I don't get an option for step 5 or onwards. As you can see from the screenshot, the "Merge..." button is greyed out, and the "Add Merge Field" button at the bottom, also.

What do I have to do to be able to activate the Mail Merge features? I really need to do this.

Many thanks in advance for any help you people can offer.