Beat butter in a mixing bowl with an electric mixer on medium to high speed for 30 seconds. Add sugar; beat until combined. Beat in egg yolks and vanilla. Beat in as much of the flour as you can with the mixer. Stir in the remaining flour and the cornmeal with a wooden spoon.
Divide dough into thirds. Knead orange coloring into one portion of dough and red coloring into another portion; leave the remaining portion plain. Divide each portion in half. Cover and chill about 1 hour.
Roll each portion of dough on a lightly floured surface into a circle 6 inches in diameter. Cut each circle into eight wedges. Place wedges 1 inch apart on an ungreased cookie sheet. Bake in a 375 degree F oven for 7 to 9 minutes or until edges on cookie sheet. Transfer to wire racks to cool completely.
Stir candy coating in a heavy, small saucepan over very low heat until melted. Dip curved edge of each cookie in melted coating. Let stand at room temperature (or quick-chill in the refrigerator for 5 to 10 minutes) until firm. Makes 48.