Besides paying for a tool? SQL Prompt and SSMS Toolspack will both do this and worth the money. I tried using the built-in connection coloring, but when I used the "Query-Change Connection" menu item, the color did not change appropriately. That meant I could easily run queries against a Production connection thinking I was still using a Development connection.

While I could write a quick blurb on this, I'd have to ultimately recommend not trusting SSMS if you change the query connection within the same window.