I never did myself but I read here on cc that you need to use candy coloring or you can use regular icing adding some shortening. I hope this helps!
If you add the gels it will seize unless you use flo-coat or I have gotten away with it in small quantities if I add crisco first.
You should really use the candy colors which are oil based. The regular icing colors will make the chocolate seize. YOu can add the flo coat (which you can purchase from cc) and use your regular colors. It will make the candy taste a little funny, and it is still kind of hard to get it not to seize up. I have read of people using reg. colors with crisco and they say it works. I really just prefer to buy the melts in many different colors and use them like that when I can. I hate coloring the melts!
Well, poop! I need to do this today. I don't have time to order stuff online and we don't have all that here. 
Our choice of colors in the candy melts are white and brown. Say I use the crisco, how do I do that? I need to color some white candy melts, yellow.
Melt your candy melts in the microwave. Then add about 1 tablespoon if doing the whole bag, less if not. Then add your color. Americolor works best and gives a better even color but Wilton will work. It it gets thick and funny add more crisco to desired effect. I have never had them not go back to a solid by adding too much crisco.
It WORKED!! Thank you so much. 
I probably won't use this method all the time but in a pinch it did the job.
I haven't made candy since I was in the states and of course there I had a lot more options as far as already colored candy melts. I'm glad I could come here for the answer to this question. I knew someone here would know! 
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