which you open via the menu entry Edit → Edit Labels…
This dialog is quite useful for organizing labels but if you have many of them you’ll have to drag the dialog window to a bigger size to work efficiently. Unfortunately the size gets reset every time you open it, which is really annoying.
I’m using Audacity v2.1.2 on Windows 7 x64 in case that’s relevant.
I did this for my custom version of Audacity. In my case I chose to create a new class from which every window who wants to remember its size/location derives. This new class takes care of storing and retrieving size and location. It’s pretty simple and quite popular with my clients.