The screen where your labels are listed (People > Labels), shows the label name and color, along with edit and delete icons on the right.
To edit a label:
Click on the pencil edit icon. The Edit Label form will open. Change the details (name, color) as needed.
To delete a label:
Click the trash can delete icon. A window will open showing how many people are currently tagged with the label. If you're sure you want to delete the label, confirm that you want to delete it. Keep in mind that once you delete the label, the label will be removed from anyone whose profile is tagged with the label. You can't undo removing a label. You'll need to re-create and re-apply the label should you need to re-tag people with it.