I have tried several of these ideas and, for some reason, don't stick to one. They all do work.

I was watching a YouTube video by Jordan Fabrics this morning and she used the peel off clear address labels. She wrote on them first and then peeled them off and put them on her blocks. I tried painter's tape once but would sometimes iron over it and got a big mess! So I am not sure if the labels would work for me. :) I might give it a try though.

I took art foam sheets and made little squares with a set of numbers in one color and a set in a different color for the alphabet. I punched two small holes in each for pinning, and wrote on them with a black sharpie. Now, all I do is either use a straight pin or safety pin to attach them to my blocks in rows and columns. In between uses, they live in two small baggies that are kept near where I am currently using for a design wall (bed, table, floor, etc.) since I don’t have an actual design wall.

madamekelly, perhaps you can use the kind of design wall I have. It's cheap, easy and can be taken down with ease if you don't have a permanent place for it.
I found 3 pants/skirt hangers with the clips that work like clothespins, not the kind that slide. My DH put 3 screws in the wall up by the ceiling. Mine is in our back hallway, but you could do it over a closet door, etc. I hang one hanger from each screw and clip flannel backed plastic tablecloths from the thrift store to the hangers. I usually can get the tablecloths for 1-2 dollars, and they last a very long time. My current one is 2 years old. On my wall I use 2 tablecloths at a time to give me a larger area, but for most things one large one would work.

When you are done using the wall, you can simply take down the hangers, still attached to the tablecloths and fold the whole thing together. You can even fold it with blocks still in place if you need to take it down before you are done. The three little screws are not noticeable, especially if you paint them to match your wall.
Use screws that will reach into the wood framing, rather than short ones that end up only in the drywall. The weight of the setup and your fabrics will pull the short ones loose.

I like the Alphabiddies from Fat Quarter Shop. They work great, no pins needed.

I use green painters tape and a sharpie. It works so well. I have not misplaced a block since using this method. I only use pins when I have to. I always seem to poke myself with them.