The current version of the Dymo Software 8.5.1 will not print on OS X Yosemite Beta. The software runs fine, but the print driver crashes when you attempt to print.
You have 2 choices, share the label printer from another computer running OS X 10.9.x or Windows, or even Linux. Or second choice you can download an older version, I would suggest 8.3.1 and install that. It will prompt you to repair the installation when you first try to print. Go ahead and let it repair the driver (it is actually a permissions issue). But after that it will print just fine!
The older software, as of this writing, can be downloaded from here.