Can I apply a label to file or folder, like I did in OS 9?

Yes, but it will work only in Panther and higher versions (10.3 and further).

In previous versions of OS X, the Finder does not support the ability to assign label colors to files or folders. This property of an item is still listed in the Finder dictionary, indicating that it may be an available feature in a future release of OS X (and this future release is Panther).