それは可能ですが、どうやって行われるのかわかりません。

One more way for WPF users,
<TextBlock >
<Run>x</Run>
<Run FontSize="8" BaselineAlignment="TextTop" >2</Run>
</TextBlock>
Change BaselineAlignment to TextBottom if you want to use as subscript.
Looks like there are some simple tags that you can use to make any text superscript/subscript. The superscript tag is <sup> and the subscript tag is <sub>.
use (Ctrl + Shift + P) command to apply superscript and subscript in Visual Studio.
There are several solutions. Personally, I simply formaat the label text in Word, use a screen capture and save it as an image that I use with a label.