If you are adding all of this labels to some list you could go and create your own TMyLabel class which is deprecated class of TLabel. Doing so you can change default TLabel constructor so that Label gets added into your list ass soon as it is created:
Code:
type
  TMyLabel = class(TLabel)
  public
    constructor Create(Owner: TComponent; List: TObjectList);
  end;

  ....

constructor TMyLabel.Create(Owner: TComponent; List: TList);
begin
    inherited Create(Owner);
    List.Add(self);
end;
And now you can simply use:
Code:
with TMyLabel.create(Form1,someList) do begin
  ...
end;