From the navigation bar on the left hand side of the screen, go to Settings tab
Next to Tags field, type in the tags/labels you want and hit the Enter button.
Then, click "Save"
From the navigation bar, go to Sessions tab to create a session. (Check this article to know more about creating sessions)
As you're creating the session next to the Tags field, click on the dropdown menu and you will find the tags you added as options.
Select one or more and hit the Enter button and when you're done, Click "Save".
Go to Sessions tab again and you'll find the new tags filter for your sessions.