In the bowl of a stand mixer fitted with a paddle cream together the butter and sugar. Mix in egg and vanilla and scrape down the sides of the bowl.
Sift in flour and mix until combined. Do not over mix.
Divide the dough in the following portions, 1 2.5oz, 1 3.5oz, 1 4.5oz, and 2 5oz.
Color the 2.5oz portion blue, the 3.5oz portion green, the 4.5 oz portion yellow and the 2 5oz portions orange and red by adding a pea sized amount of gel food color and working it through by hand, gently kneading the color into the dough until it is uniform throughout.
Roll the blue dough into a tube about 1/2" thick and 12 inches long. Roll the green dough between two pieces of parchment paper into a rectangle about 1/4" thick and 12 inches long and wrap it around the blue tube, pinching the edges to seal and trimming off any excess dough. Repeat with the yellow, orange, and red until tube is finished.
Roll dough lightly to seal the layers together, wrap in parchment paper, and refrigerate for 30 minutes or until firm.
Once firm use a sharp knife and slice circles using a sawing motion to keep the dough from squishing out of shape. Slice each circle in half to make a semi-circle.
Bake at 325 degrees for 10 minutes.