I found Adamson Labels the cheapest on the web for sew in labels (144 for £4.25), and would recommend sew in labels rather than iron on because iron on are not feasible with some items like socks. Don't underestimate how many you may need (socks, knickers, tops, trousers/skirts/pinafore, summer dresses, cardigan/jumper, blazer plus pe kit) and if anything like my dd who is 4 and started in Reception last September they grow out of it so quickly and lose stuff that you want to take that number and double it at least. But would also say, don't forget labels or pen for shoes (I've yet to find a label that stays on in dd's shoes), bags, hat etc.
We've just bought our second lot of 144 because we could not find the pack of left overs to do the naming of more socks - there is a gremilin in the washing machine that eats them But do you want to for a few pence try cutting them out to resew them in something else, also at dd's school you have to leave the labels in items that you sell through the school shop so they know who to pass the money to when the item is sold.
I had some iron in labels and they only lasted 10 or so washes. They do iron back in again so perhaps I just didn't do them properly in the first place.
Sew in ones are a real faff to do. I did have some when ds1 first went to nursery but lost the will to live after stitching them into the 6th vest.
I prefer to use laundry marker pens but they're no good on black or dark labels, which lots of ds's stuff seems to have. They're also not good if you plan to sell stuff on or use them for another child.
On balance I'd say go for the iron in ones but be prepared to have to re-iron them several times.