When you're designing the report, in the middle third you're presented with a table listing the fields in your report. The column titles on those are Expression, Aggregate, Alias, Sort Type, etc. Put the label you want on the field in the Alias column.
Alternatively, look at the SQL in the bottom third of the editor. Find your custom field and append "AS YourLabel" or "AS [Your Label]" if the label includes spaces.
As an example, create a fresh report and look at the icon. In the middle section you'll see the label "icon" in the Alias column and in the SQL, you'll see
tsysAssetTypes.AssetTypeIcon10 As icon,