How to tint powdered sugar (icing sugar)?
From my experience coloring regular sugar with ordinary food coloring, drying it, and then crushing it in a mortar yields good results. Be careful to not use too much food coloring though, or it will never dry properly! I haven't tried to see if cornstarch might save it, but as long as you do the drying properly and don't overdo the amount of color it shouldn't be necessary.

As for the powdered food coloring option you suggested, I found a source that said they don't have to be wet to take effect, but it doesn't say anything about whether the eaters will be colored =)