As I got some questions about the setup I did in vimeo.com/117133754 & vimeo.com/116822780 and as I really don't have the time to do a tutorial, I thought I'd create a simple, clean version and share that scene file. So here ya go, folks! :D
There are quite few ways to color pyro smoke, but none seemed intuitive enough for me, so I decided to try and create my own (also learning a bit of pyro in the process). Here are the results. The colors are properly mixing and being advected by the simulation. As a bonus I made blue parts of smoke cool faster, so they are not rising as much as white smoke, creating interesting layering effect. There are many possibilities to push this setup much further I think. All done in one step, using one cache.
Exported to vdb and rendered in 3ds Max using Vray