First of all, you should use paste colour, found anywhere you get Wilton supplies, though some grocery stores have started carrying them too. You can actually purchase a dark blue or Navy, though you will still need to use lots and too much colour can taint the taste of the icing. This is for regular buttercream style icings.
If you are trying to colour fondant or gumpaste, it is better to just add a little blue to tint it and then "paint it the colour you want as too much colour will make it too soft and hard to work with. I just buy premixed coloured fondant for the deeper colours.
Hope that helps. I am sure others have ideas as well.
Welcome to DC, btw.
Living gluten/dairy/sugar/fat/caffeine-free and loving it!