You have to manually add it. But don't add it to auto generated code as it can be overwritten by Visual Studio designer.
I would add it in Load event handler for the form. The code can look like this:
Label[] labels = new Label[10];
labels[0] = new Label();
labels[0].Text = "blablabla";
labels[0].Location = new System.Drawing.Point(100, 100);
...
labels[9] = new Label();
...
PS. Your task seems a little unusual to me. What do you want to do? Maybe there are better ways to accomplish your task.
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