I suggest you try a monoazo disperse dye that is largely free of dispersing agent such as CI Disperse Red 1 or CI Disperse Orange 25 - these are available from lab catalogue companies such as Sigma-Aldrich (cat. no. 344206 and 364819 respectively). These dyes are essentially insoluble in water but ought to have reasonable solubility in warm anisole and have the relatively simple structures required for reasonably fast diffusion into a PMMA film. Alternatively, these types of dye are easy to make and purify for someone with a synthetic chemistry background - for example, diazotisation of simple anilines, like p-nitroaniline, and coupling them to simple dialkylamino anilines, like N,N-diethylaniline, are not difficult, readily furnishing intensely orange and red colorants that can be recrystallised in good yield and purity. There is plenty of readily available literature outlining procedures on how to do so. I would not recommend choosing pigments instead of dyes - most will likely have a relatively low solubility in anisole.