To create email template labels and assign your email templates to them...
Navigate to Email -- My Email Template Labels and select Add Email Template Label.
Give your label a name and select Add
Navigate to Email --> My Email Templates and select the pencil icon (Edit) left of the Email Template you want to assign to the label.
Scroll to the bottom of the page, select the label you want the email template assigned to and select Save Template
Repeat these steps for any additional email template labels you wish to create, and any additional email templates you wish to assign.