Initially the boards looked very spiffy - bright and uniform.
However, after a mere week of daily typing, the keys started to fade. It wasn't just from usage either; I found untouched keys also losing their colors [perhaps from sunlight].
A myriad of sealing-technique attempts later, I found nothing would preserve the color to my liking.
Take this as a cautionary tale- I've seen a few threads now of people asking for advice regarding the longevity of dyed keys. Sadly, it is not great. I wouldn't recommend this technique at all. It's definitely worth the money to invest in a nice mechanical keyboard and buy the appropriate caps in the colors of your choosing.
Step 1: Keycap Resources
The first stop for a lot of folks is eBay: the caps sold by most merchants are cheap - both in price and quality. This isn't to say they'll break or fade, rather that the overall feel of the keys is 'thinner' and the lettering will likely be painted/stuck on. But if you're just in the mood for a little fanciness on your board, or if you need a huge variety of caps for some insane color scheme, there's nothing wrong with these keys.
And of course, your most important resource should be http://geekhack.org/.
This is the forum for all things keyboard related. In respect to key caps - they occasionally do group buys, so you can put in your order and not have to pay an arm and a leg for having custom caps manufactured.