You can create labels for groups such as pupil premium or FSM students by first creating a Dynamic Group using the Data Digger (Reporting>Data Digger)
Please refer to:
Enter 'Pupil Premium' in the first dropdown box, and a number will appear in the blue circle (these will be all your pupil premium students).
Click on the number, you will see listed all the students in this group, and you can give the group a name before clicking the Create Dynamic Group button.
In Admin>Students>Student Labels once you come to print the created label you select this group from the dropdown under Dynamic Groups.