Another question : If I've created a control and a label, how to move them in a TPanel. Because, if I move them in the components treeview, they become invisible. Wich property must I set to become them visible ?
Yes, you a drag a control in the component tree to its new parent: Select the edit in the tree and drag it immediately below the panel item so that the cursor indicates that insertion is allowed, release the mouse button now. The reason why you cannot see the edit any more on the designer form, is that the edit keeps is left/top coordinates. Before the drag operation they were relative to the form, now they are relative to the panel, and if the panel is small they may be beyond the bounds of the panel. To fix this select the edit in the tree (which is a child of the panel, now), and set its Left and Top to 0 - now the edit should be visible in the top/left corner of the panel, and you can drag it in the designer to the place where you want it.
If you want to combine a label and a control (say: a TCombobox) within a panel you should anchor the controls to the panel so that they have a well-defined and fixed position within the panel. At first drop a label on the panel. Open the Anchor Editor and select the panel in the top and left anchoring sibling comboboxes. Now drop the combobox on the panel. In the anchor editor link its left side to the left side of the panel as you did with the label. Do the same with the top side, but click the lower of the three "top anchoring" buttons; this moves the combobox below the label. Enter the spacing between label and combobox in the upper edit field of the "Border space" group when the combobox is selected (or in the lower edit field of the same group when the Label is selected). Finally set the panel's AutoSize to true. Now the panel closely embraces both controls.
If you want to change the width of the panel you must change the width of the combobox (because the panel width is defined by the maximum of label and combobox width). Note that you can move that group only by clicking on empty space not covered by label or combobox.
So, working with anchored controls is a bit counter-intuitive especially for a beginner. But the anchor editor is one of the most powerful tools of Lazarus.
If you need the same combined controls over and over again in the same project you should use a TFrame rather than a TPanel as container of the label and the other control. Select "File" > "New" > "Frame". Add a label and a combobox to the frame and anchor them as described for the panel. Store the frame with an appropriate name, e.g. TLabeledComboboxFrame. In order to insert the frame into a form of your application click on the "Frame" icon in the component palette, page "Standard" at the right, your are prompted which frame is to be selected. Finally drop it on the form like any other component.