@Thierry_S gave you some good options. I'll give you one more that will serve you well across lots of parts of JMP.
In general, the colors (and markers and other characteristics) of points in graphs are controlled by the Row State. It's the area that has the row number in it. If you right click in this area you can set the color of the selected rows.
You can set the color of all the rows based on the value in another column using the Rows -> Color or Mark by Column... menu.
Results in:
And, when you then use Scatterplot 3D you'll get this:
As I said earlier, those colors will be used in all graphs, so here's the scatterplot matrix after coloring by Z:
I hope this helps. Row States are one of the many features in JMP that make it powerful and fun.
-Jeff