First, you need to create an image of the component...
BufferedImage img = new BufferedImage(label.getWidth(), label.getHeight(), BufferedImage.TYPE_INT_ARGB);
Graphics2D g2d = img.createGraphics();
label.printAll(g2d);
g2d.dispose();
Then you need to save it...
ImageIO.write(img, "png", f);
Take a look at Writing/Saving an Image for more details