I'm not that familiar with functions is there a way to do this with SQL? Here's what i revise from your example.

select mycol, LEFT( mycol+ REPLICATE( '0', 6), 6)+STUFF( STUFF( mycol, 3, 0, ':'), 6, 0, ':')+ CONVERT( VARCHAR(25), CONVERT( TIME, mycol), 100)from militarytbl