There is an app from Unsanity called Labels X which would allow you to change colors.
Labels X enhances Apple's file labeling features in Mac OS X. This means that, not only can you apply various color tints to file or folder icons, but also you have an option of applying color tints to either an icon or its name or both.
Unfortunately, I don't think there's any other way to do that. Looking through the AppleScript dictionary of Finder, it seems that what you want to do is "NOT AVAILABLE YET". AppleScript is a very easy scripting language that would allow you to perform all kinds of tasks in OS X using methods which are provided by applications.
Finder offers a ton of methods, but obviously, changing label colors is just not implemented yet.
label n : (NOT AVAILABLE YET) A Finder label (name and color)
color (RGB color) : the color associated with the label