Power symbols already are (glorified) global labels, and if you use them on multiple sheets, they get connected…
Using the different kind of labels is a pretty basic feature of KiCad. Have you read the manual?
(You probably have a local copy of this in the Help menu in KiCad).
It’s also been described multiple times on this forum. In general we expect people to use their own initiative, and only start new topics when they get stuck on some part of KiCad.