We currently are using both Visual Source Safe and Team Foundation Server at work (VSS for old projects, TFS for current or new projects).
We have always used Labels
This very issue has been killing us.
The best solution I've found is with the use of a third party tool called Team Foundation SideKicks available for free here http://www.attrice.info/cm/tfs/.
Under the "History Sidekick" there is a label tab. You can highlight any folder or file and it will show you every label that was dropped on that folder or file and at what changeset. Unfortunately you can not see a full view of a folder or file's history with labels included.
Under the "Label Sidekick" you can highlight any specific label at it can tell you what folders/files and changesets are in the label. This functionality is pretty much the same as what is available from within Visual Studio and is not as helpful.
One caveat is the need for a TFS server 2008 or above. Using the tool with TFS server 2005 is painfully slow and basically unusable.
-ephi