The Underline Connections command (aka Highlighting Pen) can color the net within one sheet and can easily be navigated to other sheets to color them as well.
Tools > Underline Connections, left-click a wire and the wire highlights or "underlines" with a color.
Press SPACEBAR before clicking, then click another net to underline it with the next color. There are 7 fixed colors to choose from.
While using the command, hold Ctrl and left-click a Port to open the related schematic sheet and underline the same net with the same color.
To clear underlines for the entire project, click the bottom part of the Underline Connections button to Clear Underlines, or press Shift+Ctrl+C.