Line a rimmed baking sheet with parchment paper or aluminum foil and grease well.
Sift the powdered sugar, dry milk and salt into a medium bowl and whisk together .
Combine the granulated sugar, corn syrup and water in a 2-quart pot. Place over medium heat, cover and cook for 4 minutes. Add the butter, clip on a candy thermometer and bring the sugar syrup to between 235-240° F, 2-3 minutes. Remove from the heat and remove the thermometer.
Add the vanilla and the dry mix and stir until well combined. Pour onto a cookie sheet lined with parchment paper or aluminum foil. Cool for 10 to 15 minutes, until the mixture is cool enough to handle.
Divide the dough into 3 equal pieces. Pinch off about a third of one ball and add it to one of the other two balls. Leave the small ball white. Add red and yellow coloring to the medium sized ball to make orange.Add yellow coloring to the larger ball.
Roll each color of dough into a strand about 18 inches long. Cut each strand in half then roll each piece into a strand that is about ½ inch thick and 22 inches long.
Lay three colored strands on top of each other - yellow, orange, then white (yes, my photo is in the wrong order) and press them together using your fingers.
Shape each multi-colored strand into a triangular rope with white on top and yellow on the bottom.
Then lay it on it's side with the skinny (white) end away from you and the yellow next to you. Use a sharp thin knife dipped in water to cut each wedge into individual candies cutting from the small end through to the larger end. I found this method helps them keep their shape best.
Press gently to reshape and smooth out the cut edges as needed (dip fingers lightly in water if it becomes too sticky).
Lay the candies on a piece of parchment until dry, at least 2-3 hours. Store in an airtight container.