Affecting labels to your mail to keep a clean Inbox is easy. Right-click the mail you want to labelize and select the ‘label' section. The list of your existing labels will be displayed. Clicking a label in the list will affect it to the mail.
Open Sparrow’s Preferences via the Sparrow Menu (or ⌘-,) and select the Labels section. Just click the ‘+’ bottom-left corner button and name your new label. You can assign any color you want to your label by clicking the bottom-right corner button.