Gmail is renowned for releasing new features that make things easier for you to use, and today they're announcing drag and drop for emails and labels.

All you need to do is pick up the message from the "::" logo by the side of the checkbox and drag it into a label.
You can also drag the label and place it over an email to assign that label to that message. Simple.

This will be rolled out, along with several other features, at some point today (PST).