Line 8x4-inch loaf pan with waxed paper, extending paper up over sides of pan. In large bowl, combine sugar and butter; beat until light and fluffy. Add vanilla and egg; blend well. Add flour and baking powder; mix well.
Place 1 cup of dough in medium bowl. Add orange peel and both food colors; stir to mix slightly. On work surface, knead dough until color is uniform. Shape dough into 7x3 1/2-inch rectangle; place in waxed paper-lined pan. Press in gently.
Press half of remaining dough into 7x3 1/2-inch rectangle; place over orange dough in pan. Press gently to edge of pan. Stir chocolate into remaining dough; knead on work surface until color is uniform. Shape dough into 7x3 1/2-inch rectangle; place over vanilla dough in pan. Press gently to edge of pan. Cover with waxed paper; refrigerate 3 hours or until firm.
Heat oven to 375°F. Using waxed paper lining, lift dough from pan. Cut dough lengthwise in half. Cut crosswise into 1/4-inch-thick slices. Place 2 inches apart on ungreased cookie sheets.
Bake at 375°F. for 7 to 10 minutes or until cookies are set and edges are very light golden brown. Cool 1 minute; remove from cookie sheets.