Specific targeting of radionuclides is a promising approach to improve diagnosis and treatment of tumors. Targeting vectors may be monoclonal antibodies directed toward tumour-specific antigens or regulatory peptides binding to receptors overexpressed on or by malignant cells. Depending on the aim of the procedure and the biokinetics of the targeting vectors, radionuclides with different nuclear properties (decay scheme, half-life, etc.) must be applied. Halogen radioisotopes are attractive since they exhibit a variety of nuclear properties suitable for various applications. At the same time, their chemistry shows great similarities, which enables the use of similar labelling procedures for different nuclides. A problem in using radiohalogens for labelling of tumour-targeting proteins and peptides is that the commonly used radiohalogenation methods provide labels, which, after internalisation and lysosomal digestion, rapidly “leak” from malignant cells as radiohalogenated degradation products. The main reason for such leakage is free diffusion of the radiometabolites through lysosomal and cellular membranes. This review describes current approaches in molecular design to improve cellular retention of radiohalogen labels. These approaches include the use of prosthetic groups for the attachment of radiohalogens to targeting vectors of bulky hydrophilic non-charged molecules, molecules positively charged at lysosomal pH and negatively charged molecules. The emphasis in this paper is on labelling chemistry and the results of the biological testing of labelled compounds.