Sorry, I've never tried this, but I just want to cheer you on!
That said, I'm going to pitch in my 2c anyway.
I'd think you might have better luck buying powdered pigments from an artist's supply store, and working that directly into the wax, rather than trying to emulsify water-soluble food colouring in with the soap. Incorporating all those liquids is probably what makes the result so soft. Depending on the pigment, you might still get your hands stained, though.