I make labels (but not paper ones, fabric ones)
If you search saltwater kids hangtag tutorial, she has a great one where you use ipiccy or something similar and make really cool labels with whatever info you want on them; it's fun, anyway.
I don't know how the labelling requirements for toys differ from clothing, so you'll have to get a toy person in here. I do know that for some items you don't have to attach a permanent label to the item if it is impossible (the item is too small, ie a hair barrette) or if it would seriously interfere with the aesthetics of the item (I don't know how they interpret that though, since it seems like a qualitiative sort of thing).
You could do little sew-in labels on your animals if you really wanted to, I think. There are some great tutorials out there for those too, try DuhBe (though you'll have to change some aspects to retain CPSIA compliance).