has anybody ever tried to color plastic pillars?
If so ...how

I haven't, but I suppose you could wrap them in gp or fondant.

I was thinking about this myself and I was going to try cardstock paper taped into a tube. Fondant is probably better though, more grease resistant.

Or spiral wrapped in matching ribbon? Not grease-proof, but an idea.

I would either cover them in fondant or paint them with piping gel and sprinkle them with colored sugar until they are covered. You can also spray them with edible food spray.

You can spray paint them if they aren't going into the cake as in spiked pillars, otherwise paint them with royal icing.