Are you speaking of jewel case inserts or actual labels directly on the CD? In the latter case, is it the kind that prints directly on the CD or on some kind of sticker that you print and then stick on the CD?
Jewel cases are easy, just mark the playlist (or CD) and choose File -> Print... (cmd-P) and choose the appropriate type and style.
Labels for CD are worse, and I think you need some 3rd party application.