is it mentioned in a written source or something?
That's actually quite easily answered. There simply are some ancient sculptures that still today feature some traces of the original colouring. Take for example this archaic statue of a young woman or this portrait of emperor Caligula (especially the eye on the right side). In some cases methods like illumination with UV lamps can reveal even more of it.
But there are also literary records that tell us about the practice. For example Pliny the Elder relates in an anecdote about the famous sculptor Praxiteles that the artist liked those of his works best that were coloured by the painter Nikias (naturalis historiae XXXV, 133).
