I've been doing some experimenting dyeing the legs only of the new articulated brushables, trying to dye the joints specifically, but the vinyl gets dyed as well. The vinyl takes dye quite easily using Rit Dyemore and their instructions about dyeing buttons, Legos, etc. on their website using boiling water. Within about a half hour, I achieved a very dark color on the vinyl. However, if you want to do any painting + sealing on top of that, if you just dye and then paint and seal, you will get very very severe dye leech into the paint.
You can stop the dye leech though -- you just have to do an acetone bath for it. Take a small dish or container that won't melt when you put acetone into it (so no disposable plastic cups) and put your pony in. You should see the dye start to wisp off in a kind of scary aura around the pony -- that's the excess dye being pulled out of the vinyl. Be careful with the amount of time you let it sit in the acetone, as G4's can get kind of melty. I'd suggest only about a minute or so, then pull the pony out and let it rest. Repeat until the scary aura is mostly gone.
The only downside is that this will lighten/wash out the color of the dye job, but otherwise there's a chance that the dye can spread to other ponies or things from touching.