To create a label click on a submission in the inbox and click the labels text box on the right side. Begin typing in a label that you would like to assign to that submission. Once you are done hit enter. This label will now be available to use on other submissions when you click on the label text field. You can add multiple labels to a single submission and you can also mass update submissions to add the same label to multiple submissions.
To mass update submissions with a label, check the box next to all of the submissions that you would like to include and then click the "Add Labels" button that is directly above the first submission at the top of your inbox. From there you can select an existing label or add a new label to assign to all of the submissions that you have selected.
You can also sort your inbox to display submissions by label. To do this select the "All Labels" dropdown menu near the top of your inbox. This will display a list of all the labels in your inbox, from which you can select a label to show only those submissions associated with the label you have selected.