If you change the default colours in the colour selector it'll change everything built and everything you build from then on those colours. It's the very first one in the selector. When you build some items they won't initially change colour, but on reloading the game they'll change, and some items will even update their colour if you press F, aim at the object as if you are about to dismantle it, then pressing escape or otherwise aborting the dismantle process. This doesn't affect vehicles, and conveyors will appear yellow once allowed to despawn and respawn after leaving the area/game.