How can i do this?

[Traveler]

Hmm how 'bout this one:

procedure renameAllLabels();
var i : byte;
begin
for i := 0 to ComponentCount - 1 do
  if Components[i] is TLabel then
    (Components[i] as TLabel).caption := 'Hello';
end;

It does roughly the same as your example. Perhaps not so flexible, but less code.