Does anyone know where I can buy some heat shrink tubing in various colors? Thanks

Radio Shack has bags with precut shrink tubing in assorted colors and diameters. If you're looking for a specifc color/diameter/length, try www.partsexpress.com or www.partsconnexion.com/.

A couple of good retail locations if you have them in your area: Fry's Electronics, and some regional Do It Best hardware stores (Elliott's in TX) both carry a good selection in many colors and sizes, and you just buy one 3' length instead of a bunch of small pieces at the shack.

Videodrome picks 2 good sites, though I'll add that if you happen to need 3:1 shrink, try wirecare.com.