I use these people Have ordered a few times from them and ordered for friends too. Quick delivery and the shoe labesl come with rectangular labels for lunch boxes bags etc. I personally have never bothered doing socks they rarely get taken off at this age anyway and dd has been taught by me to put them tucked into her shoes if she ever does. I buy heaps of socks in one colour but can honestly say I have never known socks to go missing.
Abel Labels do them. I've never done socks, but I think the advice if you have to is to iron them going down from the top so you don't stop them stretching, and not across the way, also not on the sole as they can rub.
I use the easy2name labels - stick on for shoes, sports cups, pencil cases, etc and iron on for clothes. They also do labels you can put on socks. You get a 10 % mumsnet discount too by using code mums-e2n too