If you're using Slic3r, first read this part of the manual: http://manual.slic3r.org/expert-mode/multiple-extruders - the important bit is at the end of the page.

If you want to successfully create an AMF file that will have each extruder print in the correct position, you need to remember that Slic3r will center each individual STL file and lower it until the first part of each STL starts on the bed. If you have one STL that needs to start in mid-air, you'll need to create an additional part of each STL that will print at the base. I realise this makes no sense at all, but take a look at the STLs for this traffic cone on thingiverse: http://www.thingiverse.com/thing:21773/#files - the white and orange traffic cone STLs each have parts that print in mid air, but also each start on the printed bed.

So, if you want to successfully create an AMF file, you'll need to create an STL file for each colour with an understanding of how Slic3r will organise them on the print bed.