Getting the labels in correct format

The FedEx & UPS APIs provide options to get thermal label specific types. You will beat your head on the keyboard trying to get PDFs to print properly on thermal printers.

Some common thermal types EPL/EPL2, ZPL/ZPLII. Most thermal printers will accept documents matching one of these types.

For Fedex something like this in your ShipRequest - This is using the FedEx WSDL for shipping.

RequestedShipment.LabelSpecification.ImageType = FedExShipService.LabelSpecificationImageType.ZPLII

And UPS - Building XML to post to the UPS service.

<LabelSpecification>
 <LabelPrintMethod>
  EPL2
 </LabelPrintMethod>
</LabelSpecification>

Printing the labels

You will need to essentially send "raw" data to the printer. I started with this article and adopted it to my solution. FedEx for example returns a byte array which contains the label information - I convert this to a string and then send to the printer.

'Convert from Byte Array to String
Dim enc As System.Text.ASCIIEncoding = New System.Text.ASCIIEncoding()
Dim strConverter As String = enc.GetString(<ByteArrayFromFedEx>)

http://www.paulaspinall.com/post/2008/05/31/Sending-data-direct-to-a-printer.aspx

There is also another thread on SO about this topic.

Sending raw data to FedEx Label printer