You can't run multi-color LED's off of just a transformer as it just puts out a lower voltage of AC current and multi-color LED's must have DC current available to get all of the colors. I am assuming you have red-yellow-green LED's in which case green is established by a negative DC bias, red with a positive DC bias and yellow with AC. At minimum you will need a 5-6 volt transformer, full wave diode bridge, variable voltage regulator(with control circuitry) and three position double pole selector switch.
There are thousands of circuits avaiable online that will do the job and many have automatic switching features to go between the colors in the pattern of your choosing. A good place to start is Popular Electronics' web site. HTH
Pat