I don't believe you can within a single calendar. The only way to achieve
this would be to create an additional calendar (right click on the calendars
section on the left hand side).
For example 'work' as say blue, and 'personal' as say green (colours set
over on the right hand side). You can check multiple calendars to view them
all merged together, and appointments set in each one will use the
calendar's selected colour.