Yes.
When creating a Profile you can specify the LabelSet to use. (.NET API)
You can add the individual label types to an existing profile (think of this as applying the LabelSet styles yourself, not sure why there isn't a way to add the LabelSet itself). (.NET API) Look at the ProfileLineLabelGroup, ProfileCrestCurveLabelGroup, and ProfileSagCurveLabelGroup classes. They each have a Create method.
I believe the COM API has similar objects.