Normally, when you move a net label such that it's bottom left corner is touching an electrical object (i.e. a wire or the tip of a pin), an electrical connection is automatically made between the net label and the pin. You can then drag the net label around and dynamic wires are created/altered to preserve the electrical connection.
For some reason this is not working for me sometimes. See the video below:
EDIT:
I was able to get the situation resolved by selecting everything (net labels, wires, components, etc) and using the Align To Grid command.