For what it's worth, here's a little secret that I've been having really good luck with - Alcohol based art markers. I use Prismacolors, but I'm sure the Tria's and others would work well.
What I do is color the blank when I've turned it down to size, and then when you apply a layer of CA, it loosens up the pigments and allows the color to bleed into the finish. You can to multiple layers depending on how much color you want in the finish, and I usually put a couple layers of clear over the top of it to keep from sanding through the color, so I do turn the blank just slightly smaller than final dimensions. Typically I use thin CA to 'set' the color, and then progressively thicker CA's depending on how much I need to build.