How to add a color to vapors?
By means of physics, just vaporise the glycerine and shine light on the vapours -- like it is done for water curtains.  Similar results may be achieved with fog machines (here).  The advantage: your light source defines when and what kind of colour is visible behind a dark background / in a darker environment.  To quote from a lecture by French chemist Hervé This: "Egg white appears only white because of the white light normally used in the kitchen, as soon we use red light it were egg red."



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If, on the other hand, you want to use chemical means, mix glycerine, water and appropriate food colours, and evaporate it in a fume machine. A how-to like this may be a good starter.