I got the idea to make this when I came across this
site.
ETA: (April 26, 2008) I just found a very helpful
tutorial on printing your logo/design on the iron-on transfer paper.
Here are my own tutorial pics to help you out if you're trying it the first time. Even following these steps will not guarantee that you won't be spoiling some of the materials, but a little practice will result in pleasing results ;) Now you don't need to order personalized labels, which doesn't come cheap anyway. And most of all you can experiment with your own designs. Have fun!

Aside from your reliable
computer and
inkjet printer and
Iron, you'll need these:
Iron-on transfer paper;
Satin ribbons - these are the only ones I tried so far...it would be good to experiment on whatever you have at hand.
Also shown on photo is half of the transfer paper already printed with my own personalized label design. You can also print photos or graphics with your design. Remember you need to print a mirror image of your design.
Cut the printed iron-on transfer paper to correspond to the size of your ribbons.

Put the right side of the transfer paper on the right side of the ribbon.
You need a hard heat-resistant surface to iron on...(I used the part of my ironing board that is not padded.)
With the back of the paper facing you, press with iron that has been heated almost to the max. (It also depends on your iron, and you will know what works best after the first few tries) Press for about 20-30 secs. When its not so hot to touch, check that the paper has already adhered to the ribbon. If the edges are loose, press with iron again, until it has completely adhered. Then you can peel off the paper backing like you would a sticker.
Voila! You have your own personalized label
Sew on to your latest FO :)