Just released 0.12.0 with the ability to create new labels from the Labels and Move-To popovers, so you can organize your email while keeping your hands on the keyboard! 👐⌨️
For system labels (Inbox, etc), make sure that System Preferences > General > Accent Color: is set to Multicolor (the first one, and the default)
For your own labels, control-click on a label, and use the Color submenu. This syncs both ways with Gmail.