Hi:
I don't believe there's an automatic option to do it, but you could code it yourself using either the "brute force" method shown below or any number of more automated and/or "macro-ized" solutions to build the text string that represents the label.
cynthia
[pre]
ods tagsets.excelxp file='var_labl.xml' style=sasweb;
proc report data=sashelp.class nowd split='#';
column name age sex height weight;
define name / order 'Name#What Name';
define age /display 'Age#How Old';
define height / display 'Height#How Tall';
define sex / display 'Sex#What Gender';
define weight / display 'Weight#How Heavy';
run;
ods tagsets.excelxp close;
[/pre]