The blue tinge leads me to believe those lights all have some kind of "superwhite/blue" bulb in them.
Yellow film won't do much, except give the lights a yellowish tinge so the beam will be yellower and other cars might perceive them as yellow, making your ride more noticable, which is also an advantage of yellow fogs. Like Bill said, the difference is really in the lights, a top-quality fog light will have a good cutoff fog pattern, whether the lens is clear or selective yellow...and only good brand names like Bosch, Cibie, Marchal, Hella, etc. etc. have selective yellow lenses...just yellow (or making clear fogs produce yellow light) isn't the same for visibility, but is alright if you just want to make your lights more visible and noticable to other drivers. If you REALLY want yellow fogs, you want yellow bulbs..get some good Philips or Hella ones, and stay away from the yellow plasma/ion stuff. Like I said, my experience is that yellow really only makes a difference when the pavement is black or really dark, and it's wet..then the yellow light shows up when the white light scatters or is absorbed. For snow, it might produce slightly less glare, but not enough of a difference that I'd go changing the colors of factory fog lights or converting clear ones to selective yellow, either. Really and truly, the simplest choice is standard halogen, which is an optimal balance for all weather, and the price is nice, too.
As for amber lights...they are likely not as good as white or yellow, being far from the white/yellow spectrum of useful light, though that would also cause them to produce even less glare. They are mostly a cosmetic item as far as I've seen, on some sports cars, and even the recent special edition Explorer had amber fogs.