I haven't yet tried any dying techniques myself, but I gave Tamiya clear color paints a shot.
I got mine at a
police car modelling site for $3 per jar, by far the best deal I've seen.
They come in red, green, blue, yellow, orange, and 'smoke'. If you properly clean the FUD material with water and detergent, they go on nicely. 3-4 even coats did the trick for me:
FUD lens before painting:
Blue and red lens after painting.
Macro detail of the red lens:
And here's a light test with the blue lens and blue LED underneath:
Detail on a blue/green mix (swirly texture done on purpose):
That last one is the emitter bulb from the sonic screwdriver I posted at the start of this thread.
They seemed so smooth out nicely as well.