Many people have asked about this and many have played with coloured flames. On the whole I would say from my experience that there is not a great deal which can be done in this area by the amateur not willing to spend a lot of money and time.
Colouring flame is done by dissolving salts (metal compounds such as sodium chloride) in a solvent which also acts as the fuel. When the fuel burns, it also causes the metal ions to emit on their characteristic wavelengths (just like the flame colour tests in chemistry). To see the colour it is important that the flame colour does not mask it.
The standard fuel for juggling is paraffin (kerosene) or lamp fuel (eg Coleman's). See my file on torches and fire in the FAQ for more info. Unfortunately the metal salts do not dissolve in these fuels which are mostly short and mid-length alkanes and variants, as they are non-polar. You need a polar fuel such as ethanol, which has the advantage of also producing a fairly colourless flame. This is available as 'Meths' or 'Industrial methylated alcohol' with impurities of no consequence (unless you want to drink it!).
Be warned that meths is poisonous. If ingested, drink milk of magnesia (lacking M.o.M., drink plain milk or even water). Do NOT induce vomiting: as corrosive liquids burn just as much on the way up as on the way down, this is not recommended by medical and first aid organisations. If splashed in the eye wash with running water immediately and seek medical advice - meths is particularly toxic to the optic nerve. Be especially careful when mixing -- wear eye protection and thin rubber/latex gloves.
Meths is more expensive than paraffin - about UK$2 per litre in early 1993 and available from most chemists. Also the chemist may refuse to sell large quantities - buy a few litres at a time.
Start with the best - boric acid is cheap (about 5 pounds for 500g, enough for 20 or more litres of meths) and gives an excellent bright green colour. Dissolve as much as will go into solution. Any precipitate can be dissolved in more meths. Dip and burn as a normal club - remember to shake off excess carefully. Boric acid can be obtained at chemists and through laboratory supplies. It is a mild irritant but not especially dangerous.
Note: All chemicals will nearly destroy your wicks and clubs if mistreated. After use burn off at least once in clean meths (with boric acid this gives a nice colour still). Then burn with paraffin before storing. Preferably use them on cheap props and home made toys of metal with easily replaced wicks.
Before use, clean the torch of paraffin by burning it as long as possible without damaging the wick. The first one or two times the colour of paraffin (yellow) will continue to burn with the chemicals, producing an eerie two tone effect if you are lucky.
RED Lithium chloride gives a gentle red colour. It is not a very bright flame, it is expensive (more like 20 pounds for 500g when I last tried it) and more difficult to get hold of - lab supplies again being the best option (I shan't put addresses as they will differ for every country. post to rec.pyrotechnics for a list of suppliers).
BLUE Blue is nearly impossible to achieve as it requires a very cool flame. The mark of a good pyrotechnician is his blue. Potassium acetate is wimpish and a poor colour but cheap. Copper salts start green and only go blue briefly as the flame dies away. Both are quite cheap.