Brambleberry.com has about three and a half pages of non-bleeding colorants to choose from (yay!). Just head over there, hover over "Colorants" on the left-hand side and move over and click on "Non-Bleeding Colorants" at the bottom of that new menu that'll come up. Soap Buddy talked about (today I think?) how to tell if pigments are water or oil soluble. On Soap Queen TV Anne Marie did a Soap Queen Short on how to dilute the neon colorants (all non bleeding) in glycerine or a carrier oil, like sweet almond or jojoba oil. And, bonus, their titanium dioxide (one of my faves) is oil *and* water soluble, which makes it that much more flexible. They offer pretty good descriptions of how they behave/if they're suitable for cold process soap. You can also email or call customer service for more informatino about anything they offer. I've always found their customer service team to be especially awesome
Hope this helped. This is what I've gathered so far. I'm still fairly new (4 months) to all this soap stuff myself.