Where should I add a dye-label modification on the siRNA?

Labeling siRNA duplexes with Alexa Fluor dye or other dye labels at the 3’ end or the 5’ end of the sense strand does not influence gene silencing. We generally recommend the 3' end of the sense strand since new data suggests that a 3' end-labeled sense strand minimizes any chance of steric hindrance or interference with RNAi. Literature indicates that a free 5'-OH group on the antisense strand is required for the siRNA to be functional.

See the reference: Chiu Y L, and Rana T M, 2002.  RNAi in Human Cells: Basic Structural and Functional Features of Small Interfering RNA. Molecular Cell, 10, 549–561.