The chances are that food coloring is water soluble and unlikely to dissolve in wax. You could try it though and see if it is possible. Crayons when melted down can be used for coloring wax.

Unfortunately, no you can't. Food colouring is water soluble, which means that no matter how hard you try, it won't mix in with the wax - it will just float on top. I tried this the first time I made candles.

Wax crayons are one easy and cheap way to colour candle wax. Just throw them in the melting pot with the candle wax. You can also buy commercial wax colour if you want to do a lot of candles the same colour. I've also had good success with keeping coloured candle stubs, melting them and removing the wick remnants, and then using that to colour new candles. Of course you end up with the new candles being several shades lighter than the original candle stubs using this method.