Actually, this was decided quite a while ago, but it somehow missed being announced. Each Shen has its own colors, worn as two thin bands of color just above his cuffs, each one of the two colors of his Shen. Since Reis are public knowledge, each one wears this on his right shoulder to denote his rank:



Not all the stripes behind the Fang are those colors, obviously, they'll be the color of the Rei's Shen. The Master of Soldiers has the same, but with a gold bar between the Shen colors.

The Mahdi al'Tain and M'hael each have golden dragons on their sleeves (like what Rand had on his arms). The M'hael has one on each sleeve, while the Mahdi has only a dragon on one sleeve.

Shen Colors:
Aman Val- Dark Green and Dark Red
Dieb Cha- Dark Red and Dark Blue
Doon m'Taal- Silver with a black stripe
N'dore al'Mordero- Yellow and Gray
Red- Red and White

I think that covers everything. If I left anything out, or got anything wrong, I trust that one of the mods or admins will correct me. :P