Currently, you have to visit Wikidata to set the label of an item; even if you are linking a Wikipedia page to the item. In effect, this leads to very many Wikidata items needlessly lacking labels in many languages as the labels are simply not getting set.
I think you should be able to set the label from Wikipedia when you link a page there to a Wikidata item. For instance, you could get an input box pre-filled with the article title and a checkbox that asks something to the effect of "Would you like to also set the label for the corresponding Wikidata item?" (whether or not such a checkbox should be checked by default is a good question. I guess it should unless the item already has a label for the language).