Sometimes a labeled break or continue can make code a lot more readable.
OUTERLOOP: for ( ;/*stuff*/; ) {
//...lots of code
if ( isEnough() ) break
They are kind of the goto of Java - not sure if C# has them. I have never used them in practice, I can't think of a case where avoiding them wouldn't result in much more readable code.
But if you have to- I think all caps is ok. Most people won't use labelled breaks, so when they see the code, the caps will jump out at them and will force them to realise what is going on.