Subclass UILabel, as stated, then, in drawRect:, do [self drawTextInRect:rect];
to get the text drawn into the current context. Once it is in there, you can start working with it by adding filters and whatnot. If you want to make a drop shadow with what you just drew into the context, you should be able to use:
CGContextSetShadowWithColor()
Look that function up in the docs to learn how to use it.