First, compliments on sticking with natural.  

**Red cabbage** is a [natural pH indicator][1].  While you _can_ get it to turn any colour, it **will shift in colour** if the food pH is not the same as the cabbage.

-  You can use blueberries (ha!), blackberries, and Elderberries for various blues (see the note below on why it's hard to get a natural blue).
-  For greens, we use basil pesto.
-  For reds, there are some edible flowers that do well, obviously beats and raspberries.
-  For yellow/orange.  Saffron! grind it down in a pestle and mortar and dissolve in a bit of hot water.  Note of caution: Saffron at high doses is toxic, but at that dose, you'd be spending hundreds of dollars worth of saffron to get saffron poisoning.
-  Obviously you can mix these to get secondary colours. 

You can loosely follow [this vegetable dye][2] making recipe (obviously leave out the chemicals).  
      
[Blue dye in history][3]:
Getting a natural blue has been traditionally difficult (and expensive).  Artists show Virgin Mary wearing blue because in those days it [was more expensive than gold][4].     


  [1]: http://en.wikipedia.org/wiki/Red_cabbage#pH_indicator
  [2]: http://www.apartmenttherapy.com/how-to-make-vegetable-dye-140050
  [3]: http://en.wikipedia.org/wiki/Blue#Blue_in_the_ancient_world
  [4]: http://wiki.answers.com/Q/Why_is_the_Virgin_Mary%27s_mantle_blue