Pretty much exactly like you create it, and I'm presuming we're not talking about a Gmail system label like Inbox, Sent, Chat, etc., which can be hidden, but not deleted.
Once you're in Settings, Labels then use screen reader search to find the Create new label button. This is positioned in the label table just above the entries for user created labels. Then I start navigating down the first column of the table until I hit the label I'm interested in (one could search for it, too). Once I'm on that label's line, I navigate across the columns until I hit the "Remove" action, which deletes the label when activated.
Removing a label does not delete any messages to which the label is assigned. You would have to do that first, before removing the label. When a label is removed the messages that had only that label assigned end up back in your Inbox.
Brian - Windows 10 Pro, 64-Bit, Version 1809, Build 17763
Puritanism: The haunting fear that someone, somewhere, may be happy.
~ H.L. Mencken