I am looking into doing some light painting and at the moment I only have an LED torch to work with at the moment, I am looking into getting a couple of different small key ring torches, what sort of milliwatt and colours would give the best results? And further, is it better to trace what I am trying to show by shining the light on the object or pointing it at the camera?
You'll get more light by pointing the light source directly at the camera, but it will look different. Likewise, different colors will look... different. I think the only answer here is to get some things and experiment with the look you want and like. And, more variety will give you more options!
You may want to consider buying a high-quality white LED flashlight and using colored gels for your color options. But that doesn't sound like the route you're interested in.
As for power: you won't really be able to tell which is brighter by the wattage. There are a lot of other factors, with the focus/reflector system being the most important of those — but also, the ratings on cheap lights won't be accurate anyway. Generally, brighter is better (although too bright might mean that it's hard to be subtle, I don't think that will be a problem with keyring lights).