You name the partitions and not the device.
How you do so depends on the filesystem on the partition.
For instance if you have an ext2/3/4 filesystem on a partition then you can use
e2label /dev/sdXY <name> where X=device letter, & Y=partition number
man e2label gives the following information:
E2LABEL(8) E2LABEL(8)
NAME
e2label - Change the label on an ext2/ext3/ext4 filesystem
SYNOPSIS
e2label device [ new-label ]
DESCRIPTION
e2label will display or change the filesystem label on the ext2, ext3, or ext4 filesystem located on
device.
If the optional argument new-label is not present, e2label will simply display the current filesystem
label.
If the optional argument new-label is present, then e2label will set the filesystem label to be new-
label. Ext2 filesystem labels can be at most 16 characters long; if new-label is longer than 16
characters, e2label will truncate it and print a warning message.
It is also possible to set the filesystem label using the -L option of tune2fs(8).