Just don't do it. Technically, it is possible to create a file with a ":" in it, using Terminal. It is a special character and needs to be escaped with a "\".
$ touch foo\:.c
$ ls
You'll see it there, however, it won't show up correctly in Finder. Delete it by doing a "rm foo\:.c".
OSX is a POSIX operating system. I can't remember the exact posix rules regarding what can and cannot be used in a filename, but it is a good idea to just never use a ":" in a filename, or any other character that requires it to be escaped. I don't even use spaces in filenames for the same reason.
Yes, the ":" was used as the path separator character but only for the classic mac os. OSX is now posix, so like all unix operating systems, the "/" is now used.
If I have a file where I would normally want a ":" in it, I'll use a "-" or "," instead. Those characters are no problem.