If it requires kneading in the color to get it distributed, then whatever you end up doing, it's effectively 'before kneading' or at the very least 'in the middle of kneading'
So therefore, I'd add the color before or during the first kneading; if nothing else, it'd get better distribution. If you're making a double batch, I'd make the first one color-free, and the second colored (adding the dye to any liquid in the recipe).
You might also want to see the question on coloring fondantquestion on coloring fondant for suggestions on kneading in color faster.
