A label won’t take rich text so you have two choices, use a WebView or multiple labels styled as required.
Don’t dismiss the idea of just using multiple labels, even labels over the top of text to highlight individual words. It’s not pretty but it does work. One really annoying gotcha of the webview is that it typically won’t load until the view has been shown the first time (i.e. slid into view via an animated effect) and to get round this you have to get into very boring tricks of loading the view hidden first before it is shown…
Displaying Rich Text In A WebView
See this page.