Beat sugar and butter at medium speed of an electric mixer until light and fluffy. Add 1 egg, orange rind, and vanilla; beat well.
Combine 2 1/4 cups flour and salt, stirring well. Gradually add flour mixture to creamed mixture, mixing well. Cover and chill at least 2 hours.
Divide egg yolks among several custard cups. Add desired food coloring to each cup, stirring well. Set aside.
Divide dough in half. Work with 1 half at a time, storing remainder in refrigerator. Sprinkle 1/2 tablespoon flour evenly on work surface. Turn dough out onto floured surface, and roll dough to 1/8-inch thickness. Cut with a 2-inch cookie cutter, and place 2 inches apart on lightly greased cookie sheets. Brush food-coloring mixtures lightly onto cookies with a small brush.
Bake at 350° for 10 minutes or until edges of cookies are lightly browned. Remove from cookie sheets, and let cool on wire racks. Repeat procedure with remaining flour, dough, and food-coloring mixture.