You do not need to use their system to do a label BUT there are things you will need to do.
1). Make sure you use Delivery Confirmation (or Signature Delivery Confirmation depending on the value of the item) to protect yourself from an "Item Not Received" dispute/complaint.
2). Make sure you enter that tracking number to that item on your "Sold Items" page.
3). Be sure and leave "feedback".
Doing 2&3 of the above ASAP lets your Buyer know that the item is on it's way.
If you print your labels through
ebay, stamps.com, usps.com etc you can get a shipping discount and do not have to stand in line at the post office.
Look for a cheap printer and start printing your own labels if you start selling in volume.
Good luck!