I had to check around a bit to find how to name a loop; to save others some time I figured I add to this thread:
You can only name System "For" loops (or at least, that's the only one I figured out); when you choose the "For", the first field allows you to name it.
There's an example in this thread: http://www.scirra.com/forum/grid-of-sprites_topic49074.html?KW=nested+loops