i know a quilter who cuts her binding strips, puts them together, presses them and then writes down the strip a whole story sometimes about the quilt...then attaches the binding to the quilt...it is really cool to sit with one of her quilts...realize there are words along the binding, find the beginning and start reading it....
for me most often i just make a label either with thread or ink and place it where it works on that quilt usually on the back. i have also written whole 'stories' to go with quilts...for the game quilts i printed out game instructions and incorporated them right into the quilts then added my name and date to one. i have written on the front of quilts at times and one quilt i (quilted) the label...meaning i started at the beginning of the quilt, quilting it and wrote the quilt story as part of the quilting. it does not matter how you label your quilts it is only important that you do label your quilts!