If you mean naming the macro, open the macro box up and guard it and touch the macro cell and press set, or you could just press an empty cell if un-guarded and use the left/right/up/down keys to the cell and press set.
I've been playing with this today and it won't work. If you have the cell with the cue name selected the macro still just tries to name itself. I tried a macro with a screen press in the cue list window as well to try and get it to do it, but no joy. It would be really great if this could be figured out. I spend most of my time labelling stuff when I program to a deadline.