Whisk both pudding packets with the cold milk for 2 minutes. Divide the pudding evenly between two bowls.
Tint one bowl deep orange with orange gel food colouring. Tint the other bright yellow with yellow gel food colouring. Refrigerate both for 10 minutes.
Whip the heavy cream with powdered sugar and vanilla extract until it holds stiff peaks. Keep it white.
Spoon the white whipped cream into the base of each cup, filling the bottom third.
Add a layer of orange pudding as the middle third.
Top with the yellow pudding to fill the cup within 1 cm (0.5 in) of the rim.
Refrigerate for at least 1 hour until all layers are set.
Before serving, place three candy corn pieces point-up on the surface of each parfait as garnish.