I stumbled upon this posting and put up a comment:
Have a look here.
I managed to post my del.icio.us links to Blogger. It seemed that mailing them was one of the solutions. My Perl script is using a mail sender package that I configured for HTML mail. Voila. Just like you I'm missing a way to add labels in the mail. Flickr has a syntax of mixing tag:anylabel in the subject or in the body. I will look further if Blogger has any support for labels in the mail. Otherwise this could be a enhancement request for Blogger.
Seems more people are expecting/wanting this feature