Adding a 'unsubscribe' button
To add a unsubscribe button to your Mail Merge campaign, from the "Messages" view (where you type your email message), click on "Unsubscribe Link" at the very top of the page.
Alternatively, if you want to customize the face of the link (i.e. instead of "Unsubscribe", maybe you want to have "Click here if you're not interested"), then simply click on the insert link icon (pointed at in the first red arrow in the photo below), type "[[Unsubscribe Link]]" (without quotes) in the "URL" field, and type whatever text you choose in the "Text" field.
When a user clicks "Unsubscribe", they will be tagged accordingly in the Mail Merge report and they will no longer receive emails from that particular campaign.