From BlenderWiki

Adding color to the levels using Materials

Up until now, the added objects have used the default gray color. In order to change the basic look of the scene, we will now change the colors of the models in the scene by creating new materials for the them.

• Open the Materials panel by clicking on the gray sphere on the panel () or by pressing F5, as shown below.
• Select the main sphere model in the 3D view with a right click RMB .

• Click on the Add New button. This will add a new material to the sphere model. A more complex set of panels will appear. For now, we will just change the color of the material.
• Click on the area beside Col, which indicates the main material color.

• A color picker will then appear. Use it to choose a red color, and then move the mouse cursor away from the picker. The sphere will appear red in the 3D viewport.

• Repeat this process for some of the other models in the scene until they are all different colors.