If you create labels via Admin > Comms you can select the students you wish to create a label for before creating the labels.
Alternatively if you usually create labels via Admin > Students > Student Labels or Reporting > Reports > Students (tab) > Student Labels, you can create a group of these students via Reporting > Data Digger > Manage Static Groups (bottom left).
Once the group is created if you go to print your labels as normal you can select this static group from the group dropdown box.