As you can see from the lipstick making post, if you are going to colour any oil based product - bath melts, whipped butters, oil based scrubs, and so on - you'll need to use an anhydrous (without water) colourant. I use powdered chocolate colouring (available at chocolate making shops) because adding hydrous (water based) colours to anything without water equals ick! (So food colouring, LabColours, liquid colours are right out!) You can also use iron oxides, micas, and other ingredients you'd use in mineral make-up.
Please note: If you are selling your products - which I don't recommend until you have mastered preserving, retarding rancidity, and have tested your products - chocolate colourants may not be acceptable for sale. They are, however, fine for gifting and using yourself.
It's a fairly simple thing to colour oil based products. Take some of the powdered colouring - a titch, to begin - and sprinkle it into the product when it is still liquid. Make sure it is not clumpy going in, as it will take longer to break down the clumps! Now stir well until the colour is dispersed. If you want a little more colour, add a little more. If you can get your hands on some of the little 0.15 cc mineral make-up spoons, those are great for keeping a record of how much you added.
Pretty basic, eh? But it's something we all forget in our enthuasism - water plus oil equals ick!