If you are thinking labels and designs up to 5" X 7" the $500 machines will do that and you can sew on them too.
My Singer will do this :D
Don't know about all of the machines, but the Futura's you download the design to your computer and then send it to your emb machine via a cable that is provided. I prefer this to the other machines that need a box to transfer them.
There are also free programs, that will convert other format designs to your machines format. It makes it nice when you find a free design in the wrong format :D
Having the right needles, a good varied supply of stabilizers will also help make this venture more successful :D:D:D