It may work but not used as a true powder paint where you heat your jig before dipping it into the powder paint. I would think wetting your jig then dipping it in the home made powder would color the jig. Trouble there is I think your colors would be a candy color = transparent. Maybe if you used the color over a jighead that was powder painted white may get you a more solid color if that's what you are looking for ? I'm also not too sure what kind of coverage using the colored powder would be. I am thinking it would be hard to end up with a uniform coat of color ? Dunno.
A friend of mine who lives in Sweden turned me onto what they call Color Powder. They mix it with epoxy and add beads ( colored epoxy before it sets up ) of colored epoxy to hooks to make what they call colored hooks for Perch fishing. I experimented with it myself and the pic below is what I came up with. It was a tedious process to say the least.
I can't see how using the colored epoxy helps you with wanting to paint jig heads but it shows one way a guy can use colored powder for a different fishing related application.
I don't know what is in the colored powder that my friend from Sweden sent me ( I can't read or speak Swedish lol ) but it does come in small multi colored kits that are ( I'm guessing ) readily available commercially in Europe or at least in Sweden anyway. If you really want to give this colored powder a go you may wish to track one of these kits down just to experiment with. If not, then I would try making a batch of your own and see how it goes. I have an Australian buddy that I help get things from the states much cheaper than he can so I understand why you want to pursue alternative ways making your own stuff = things are really expensive down under.