The ability to set colors in your nick has been part of plus since the begining of plus 2. Now, in plus 3 you can still have a colored nick. Here are the steps needed:
Open a conversation window.
type /nick
leave a blank space
type your nick using colors, formatting options, etc... what you want
press enter
to add colors, press Ctrl + K and pick up a color
To know more about the formatting options, read these 2 tutorials of
msgplus.net:
http://msgplus.net/help_tutorials.php?tut=multi-format-colors
http://msgplus.net/help_tutorials.php?tut=multi-format
note: some images at those links are missing. that's because they're updating the web and it's still not complete.