1. In a medium bowl, combine the flour, baking powder and cinnamon. In a large bowl, using an electric mixer set on medium, beat the butter, granulated sugar and brown sugar until fluffy. Beat in the egg, walnuts and orange juice. Gradually beat in the flour mixture. Shape the dough into a ball and wrap in plastic wrap. Chill for 30 minutes.
2. On a floured surface, divide the dough into 3 equal sections. Knead red food coloring into 1 dough section; knead blue food coloring into another section. Leave the remaining section plain.
3. Line a 9 x 5-inch loaf pan with parchment or waxed paper. Line the bottom of the prepared pan with the blue dough. Top the blue dough with the plain dough. Top the plain dough with the red dough. Cover the pan with foil and freeze for 20 minutes.
4. Preheat oven to 350F. Lightly grease 2 baking sheets. Remove the dough from the pan. Using a large knife, slice the dough into 1/4-inch-thick slices. Place the slices on the prepared baking sheet. Bake until firm to the touch, 10 to 12 minutes. Place the baking sheets on wire racks; cool slightly. Transfer the cookies to racks and cool completely.
Tips: Working with the Dough
If the dough is too firm to slice, let it sit at room temperature for 5 minutes. Alternatively, if the dough begins to soften to quickly, return it to the freezer for a few minutes.