A local electronics supply store carries clear heat-shrink in all kinds of sizes. I'm sure you can find this anywhere. As you can see, it's CHEAP. Little more than a dollar gets you 3 feet of it. I bought several sizes, and I may go back for more if I need it. Then all you need is a roll of white electrical tape and a super fine sharpie.
The rest is obvious. Print small. Cut the tape and wrap it around the wire. Apply heat to a short piece of the clear heat shrink. Try this, it works! Even on the smallest wire sizes. And did I mention... it's cheap!
I know, it's not as elegant as something that came out of a fancy printer that prints on heat shrink, but who's ever going to see this anyway?