If you load up a couple of the fluid examples, you can see a couple of different files that will give you insight into coloring your 3D fluids. Go to your menu, and select Fluid Dynamics->Get Fluid Examples
In the Explosions folder, is Blast.ma a non-dynamic explosion type of effect.
In the Fire folder, is the flame.ma
and in Space, is Meteor.ma
Hopefully looking through these will give you a better idea of how Color, Incandescence and Opacity can be used to have some nice 3D fluids.
Unfortunately for your case where you specifically want it colored based on density... I don't know exactly how to help without knowing what's happening in your file... if you make the outside too opaque, you won't be able to see what's on the inside, and if you make the outside, too transparent, you won't be able to see it... so as I said, hopefully the above files give you ideas...