If you are exporting your segmentation variables from SSI Web, then the labels file is created for you automatically.
If you are getting your segmentation variables from somewhere else, then you can upload them in a CSV file without the labels file. In general, it is easier to import variables without the labels file and then add the labels manually than it is to create a labels file from scratch.
That said, if you still want to create the file on your own, we do have some documentation that will explain the format of the labels file. Unfortunately, there is not a way to link it to this forum, so you'll have to email Sawtooth to get the file (firstname.lastname@example.org). We also have a schema file that can be used with XMLNotePad (a Microsoft application) to easily create the labels file correctly.