Combine butter and sugar in a large bowl; beat at medium speed until creamy. Add egg, lemon juice, lemon zest, and salt. Continue beating until well mixed. Add flour and baking soda, beat until well mixed. Divide dough into thirds. Press one-third of the white dough evenly into the bottom of a loaf pan that you have lined with foil, wax, or parchment paper. Place another one-third of the dough into a bowl and add yellow and red food dye to make orange (refer to the chart on the back of your box). Once it is mixed evenly, press orange dough evenly over white dough. In another bowl, add the final amount of dough and dye yellow. Press that evenly over the orange dough. Cover and refrigerate until firm (2 hours or overnight is best). Once chilled, invert your loaf pan and unwrap your dough. Flip it back over and place it on a cutting board. Cut loaf crosswise into 1/4-inch slices using a sharp knife, trimming edges to make even, if necessary. Cut each slice into 6 wedges.
Place 1-inch apart onto a lightly greased cookie sheet. Bake for 7-10 minutes in a pre-heated 375 degree oven. Place cookies straight into a bowl with sugar and coat. Place coated cookies on a baking rack to cool.