There are fabrics that are pre printed labels, like a panel, you can use. I have written on them with a Micron Pigma pen (make sure you heat set it!), I have hand embroidered labels and I have used the block alphabet in my machine to machine embroider them. I have used orphan blocks as labels as well. Again, writing on them with a permanent fabric marker or embroidering them. I have seen some make absolutely beautiful lables with embroidery machines.
Like PenniF, the label is the very last thing I do. When applying them I always turn the raw edges under and hand applique them to the back being careful not let any of my applque stitches come through to the front.