Simply use class attributes:
public class MyClass {
private final int labelsSize;
private final Label[][] labels;
public MyClass(final int labelsSize) {
this.labelsSize = labelsSize;
this.labels = new Label[labelsSize][labelsSize];
}
// ...
for (int i=0; i<labelsSize; i++) {
for (int j=0; j<labelsSize; j++) {
labels[i][j]=new Label(panel, SWT.SHADOW_OUT);
labels[i][j].setImage(empty);
}
}
}