When it's extreme it's called Synesthesia. As I understand it, synesthesia means 'confusion of senses', so it refers to any such confusion, e.g. associating colour with a sound, etc. However I don't know of a phrase just for the phenomenon of seeing words as colours.
Apparantly there's been some research to suggest many people have mild forms of synathesia, and see words in different ways.
I don't generally do this, although I do have images of days of the week, as different shades of black and white. (Sunday for example is the most white one, and I think Monday is the darkest, most like black. But this may be some psychological reaction rather than synathesia, such as seeing Sunday as the day when you have 'lazy sunny bright days of enjoyment', and Monday as being the day when you gloomily start work, and it rains. I don't know.)
Do you have Synesthesia?