I usually make mine from a block that is in the quilt or elements of the fabric used in the quilt. Embroidery on my machine is a very basic block alphabet. I have used that on a few but usually I like to hand embroider them or write them with a micron pigma pen. I have also bought the preprinted labels that have a border design printed on them and write or embroider my info in those.
Edited to add that I have always appliqued my label on after I have completed it. It is the last thing I do before I call a quilt done.