I was walking through unanswered questions and found this one. I'd need more information to give you a specific answer, for example are you talking about a blue (discrete) pill or a green (continous) pill? Are you using Measure Names/Measure Values? Are you using mark labels to show text instead of a text marks? Posting a packaged workbook with sample data would be helpful.
I am talking about a green (continous) pill and the columns are Measure Names/Measure Values. I'm not sure what you mean by mark labels as opposed to text marks.
When you are using Meaure Names/Measure Values then you only have single settings that affect all of them. Think of Measure Names as one dimension/header or Measure Values as one measure/axis, so anything you change applies to that header or axis.
The workaround is to create what I think of as a "Multiple Axis Crosstab", where you use a dummy axis for each column and then and you can use a highlight table or shape marks where the text is actually the mark label, then format the label. This post has the basics of how to do this: http://community.tableau.com/message/171852.
I'm working on an updated version and should have that ready this weekend