Use the android constant WRAP_CONTENT value which is -2.
FILL_PARENT value is -1.
You wont see the results in the designer if you use it, but when you run the app it will make the label just big enough to show the content. You can use it for width and height.
Dim L As Label
L.Initialize("")
L.Color = Colors.Gray
L.Text = "Test of background label sizing"
L.TextColor = Colors.White
Activity.AddView(L,10Dip,100Dip,-2,30Dip)