I just got the PE770 for Christmas too!
I noticed that you can do labels, but you have to do one line at the time. I go to the alphabets, pick one and pick small letters. Then I program one line in and move the line to the top of the hoop and embroider. Then I go to the second line and [place the programmed line below the first one, etc. This is what I discovered so far. Anybody out there that knows an easier way, besides buying a software program?