Line the bottom and sides of a 9x5 loaf pan with plastic wrap. Set aside.
In the bowl of a stand-mixer fitted with the paddle attachment, cream together the butter and sugar. Add the egg, orange zest, orange juice, and vanilla and beat until combined.
In a bowl, mix together the flour, baking soda, and salt. Gradually incorporate the flour mixture into the butter/sugar mixture until it comes together and forms a dough.
Divide the dough into thirds. Press one-third of the dough into the bottom of the loaf pan.
Return another one-third of the dough to the stand-mixer and color the dough yellow with the yellow food coloring. Mix until well-combined. Remove the yellow dough and set aside. Place the final one-third of dough into the mixing bowl and color it orange, mixing until well combined.
Press the orange dough evenly over the top of the white dough. Finish by pressing the yellow dough on top of the orange dough in a final layer. Pull the plastic wrap loosely over the top of the dough and place loaf pan in freezer for 60-90 minutes.
Preheat oven to 375.
Lift the dough out of the loaf pan and place it onto a cutting board, removing plastic wrap. Using a long, sharp knife, cut the dough into 1/4-inch slices. Cut each slice into 6 small triangles (as pictured). Bake on an ungreased cookie sheets for 5-7 minutes (6 minutes was perfect in my oven).
While the cookies are baking, place 1/3 cup of sugar in a shallow bowl. When cookies come out of the oven, let them cool 60 seconds, then dip them in the sugar while still warm and place on a cooling rack.