I never get much color either. I think it has to do with the cheese itself.
Maybe age, dryness or just type of cheese.
I was going to air dry some the next time I did it and see if that aided in color.
I always cold smoke my cheese between 1-2, generaly 1, hours and never do get the smoked look you get from the grocery store smoked cheese. Most of the smoked cheese at the grocery store is not smoked at all but sprayed with a liquid smoke concoction.