There are two possible solutions:
1. Simply enter line breaks. By default, line breaks are entered using SHIFT+ENTER. If your labels tend to need many line breaks and you'd prefer to use ENTER over SHIFT+ENTER, you can change this in yEd's preferences ("File" -> "Preferences", switch to tab "Editor" and choose "[Enter] creates new line, [Shift+Enter] closes editor" for option "Label Editor").
2. Select the label (by pressing and holding CTRL while left-clicking on the label). Set the property "Size" to "Fit Node Width" and property "Configuration" to "Cropping". (The properties are displayed in yEd's Properties View that is usually located in the lower right corner of yEd.)