Whisk together powdered sugar and powdered milk in a bowl. Stir together granulated sugar, corn syrup, and butter in a medium saucepan; bring to a boil over medium-high, stirring often. Reduce heat to medium, and stir in vanilla; cook, stirring often, until mixture begins to reduce and thicken, about 5 minutes. Pour mixture into a large heatproof bowl.

Gradually stir powdered sugar mixture into corn syrup mixture using a wooden spoon until thoroughly combined. (Mixture will be very thick and stiff.) Let stand until dough cools slightly, 2 to 3 minutes.

Divide dough evenly into 3 portions; place each portion in a small glass bowl. Knead red food coloring gel into 1 of the dough portions until desired color is reached. (Wearing latex gloves will prevent color from transferring onto hands.) Knead green food coloring gel into the second dough portion until desired color is reached. (The third dough portion will remain white.)

Divide red dough evenly into 5 portions; place on a work surface. Roll each portion into a 12- to 14-inch-long rope. Repeat process with green dough and white dough.

Place 1 red rope, 1 green rope, and 1 white rope next to each other lengthwise on work surface; gently press together until ropes stick together. Repeat process with remaining ropes. (You will end up with 5 multicolored long dough rectangles.)

Working with 1 dough rectangle at a time, start at 1 corner of the rectangle, and zig-zag a knife or pizza cutter down the length of the rectangle, creating approximately 30 triangle-shaped candy corn pieces (around 1/2-inch wide each) from the rectangle. While working, dip knife into a bowl or plate of powdered sugar (about 1/3 cup) as needed to prevent knife from sticking. (You should end up with approximately 150 candy corn pieces total.)

Arrange candy corn pieces in a single layer on baking sheets lined with parchment paper or wax paper. Let stand until dry, about 2 hours. Store in an airtight container at room temperature up to 2 weeks.