[ecfisa]

Hola Carlos.

Si queres utilizar Drag&Drop sobre el TLabel que creaste para situarlo en el TPanel, podrías hacer:

Código Delphi [-]
  ...
  private
    FLabel: TLabel;
    procedure LabelMouseDown(Sender: TObject; Button: TMouseButton;
      Shift: TShiftState; X, Y: Integer);
  public
  end;
...

implementation

(* Label OnMouseDown *)
procedure TForm1.LabelMouseDown(Sender: TObject; Button: TMouseButton;
  Shift: TShiftState; X, Y: Integer);
begin
 TLabel(FindComponent('MiLabel')).BeginDrag(True);
end;

(* Crear Label *)
procedure TForm1.Button1Click(Sender: TObject);
begin
  FLabel:= TLabel.Create(Self);
  FLabel.Name:= 'MiLabel';
  FLabel.Left:= 10;
  FLabel.Top:= 10;
  FLabel.Parent:= Self;
  FLabel.OnMouseDown:= LabelMouseDown;
end;

(* Panel OnDragOver *)
procedure TForm1.Panel1DragOver(Sender, Source: TObject; X, Y: Integer;
  State: TDragState; var Accept: Boolean);
begin
  Accept:= Source is TLabel;
end;

(* Panel OnDragDrop *)
procedure TForm1.Panel1DragDrop(Sender, Source: TObject; X, Y: Integer);
begin
  TLabel(FindComponent('MiLabel')).Parent:= Panel1;
end;

Saludos.