Cream butter and sugar until light and fluffy, 5-7 minutes. Beat in vanilla. In another bowl, whisk together flour, baking soda and salt; gradually beat into creamed mixture.
Divide dough in half. Tint 1 portion yellow. Divide remaining dough into two-thirds and one-third portions. Colour the larger portion orange; leave smaller portion plain.
Shape each portion of dough into two 8-in. logs. Flatten top and push sides in at a slight angle. Place orange logs on yellow logs; push sides in at a slight angle. Top with plain logs, forming a slightly rounded top. Wrap and refrigerate until firm, about 4 hours.
Preheat oven to 350°. Unwrap and cut dough into 1/4-in. slices. Place 2 in. apart on ungreased baking sheets.
Bake until set, 10-12 minutes. Remove from pans to wire racks to cool.