i add the label when the quilt is quilted (unless i want to quilt over it-which sometimes i do) before binding- i generally locate my label in the bottom right hand corner- so the binding covers 2 sides (bottom/right side) and i hand stitch the other 2 sides down.
I have also made labels that were placed under the hanging sleeve (a good place to put one if entering a show (or fair) where it may not be ok to have the label you want on your quilt--also is a good security measure---if someone should "try" to claim your quilt you can 'lift' the sleeve and prove ownership.