Do you need a full-featured "label", i.e. with WordWrap, AutoSize, OptimalFill, or do you just need vertical text? Do you only need vertical text, or also intermediate angles?
The basic idea is to override the Paint procedure. But you must adjust the text starting point positions which is in the top/left corner; you must correct text width and height if you want to draw at a different angle. And the TLabel is so stupid that it does not adjust the clipping rect accoring to the text direction. Multiline text needs also consideration because the canvas always increments y from line to line, but it should increment x in case of vertical text.