Making them separate colors helps with the troubleshooting, as others have said. Also, the color of the left needle will show on the other side (as much as a regular sewing machine's would). So in your actual project, you probably just want to rethread the left needle.
And yeah, overlockers use more thread per inch of sewing than a regular machine would. In my experience though, the cones are a lot bigger than the average spool, more than is proportional.