Double click the color dot:
Pick your color.
Ok, Ok → Exit.
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Multiple binder selection:
Right-click:
Document(s) selected:
Document(s) not selected:
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→ Once designed, a set of labels can be saved as part of a project template, as well as be dragged from one project’s settings’ label tab to another. 
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Label colors can be applied as a reference in a few other places as well:
