Crear Clase en Userform

 Código en el userform

---------------------

Dim Lbl() As New Class1               'Al inicio de todo el código
Private Sub UserForm_Initialize()
  Dim i As Long, ctrl As MSForms.Control
  i = 1
  For Each ctrl In Me.Controls
    If TypeName(ctrl) = "Label" Then
      ReDim Preserve Lbl(i)
      Set Lbl(i).MultiLabel = ctrl
      i = i + 1
    End If
  Next
End Sub

------------------

Código en la clase:

--------------------------

Public WithEvents MultiLabel As MSForms.Label
Private Sub MultiLabel_Click()
  With MultiLabel
    If .Caption = "" Then
      .Caption = "X"
    Else
      .Caption = ""
    End If
  End With
End Sub

------------------------

Recomendación