Can I change the label on one or more messages?

Yes. To change a label on a single message, select the message, and then, in Labels drop-down list at the top of your Mail window, uncheck the label currently applied to it. Then select another label and click Apply.

To change a label on all messages that have that label, click the label in your Labels list at the left of the Mail window. At the top of the list that appears, click Select all. Then, in Labels drop-down list, uncheck the label you want to remove, and select the new label you want to apply. Click Apply.