Using stain is a cheaper alternative to sourcing hardwood timbers most of the time. I have used aniline stains successfully, but found they faded over time. If you can find raw stains, you can mix them for custom colors.
Some caution is needed. There are different kinds of stain and they behave a little differently, please read the labels, but generally:
Stain before: gluing up. Make sure the stain has gone off completely before going on to do anything else with the wood, otherwise there is a small risk that the stain will be affected by the glue and Vs Vs.
Stain before sealing. Once you seal the stain cannot go into the wood as well.
Stain takes diffently to different types of grain. If you have even grain the coloration should be even. Irregular grain gives blotchy finishes. You can buy special primers to put on before stain to even this out, but that is more cost. You can use thinned seals and varnishes before staining to reduce blotching, but this reduces the amount of coloration that the wood takes in overall. Generally re-staining does not make it darker after the second coat.
The other option is to buy colored exterior varnish like Ronseal. You may be able to find some manufacturers can supply small tester tins, these are probably big enough for modeler's needs.
Just some thoughts