StackOverflow won't let me comment on the answers above, so I'm writing this as a new "answer". I want to clarify some of the misconceptions listed above.
First, using TFVC Labels is MORE resource intensive than using changesets. A lot more. Commands such as Branch, Merge, and Get by Label is slower. For enterprise servers with huge databases you do not want to be using labels.
Second, Builds don't automatically create labels, although the default build steps include a step to create a label.
Third, as others already mentioned, labels can be moved or deleted, so they are much less dependable than changesets which are immutable.
Overall I recommend you NOT use labels. The simplest alternative is to just remember the changeset number for your builds. Or if you want to isolate different release versions, you should create release branches.
Labels are OK for small systems, but are not good for large enterprises.