Color-coding is a matter of convenience in that it can help you stay more organized, but using different color wires will not change how your circuit works. Some circuit components, like battery packs and certain sensors, come with colored wires already attached to them. Keeping track of these colors does matter (for example, do not get the red and black leads on a battery pack mixed up). All jumper wires, however, are just metal on the inside with colored plastic insulation on the outside. The color of the plastic does not affect how electricity flows through the wire.
In electronics, it is generally standard to use red wire for positive (+) connections and black wire for negative (-) connections. What other colors you use is largely a matter of choice and will depend on the specific circuit you are building. For example, there are a few different ways you could wire this circuit with red, green, blue, and yellow LEDs, but they will all work exactly the same:
These circuits will give the same output.