Picked this idea up from Texas Indians. What you should be looking for are Cochineal bugs that you can find on cactus plant.
You need to be brave enough to push a toothpick I push down into the beetle and it will pop open with red liquid running out. This is the way Indians dye their stuff red.
If you can take it, check out the fully pictorial guide, from Texas Indians, with very clear instruction on how you can extract natural dye from Cochineal bugs.
It should interest you to know that the dye is used as a fabric and cosmetics dye and as a natural food colouring, as well as for oil paints, pigments and watercolours. So, if you are good at extracting this dye, try making your own Lechuguilla Cord to dye with.
Other than for making cord, the Lechuguilla plant is also used to make a local alcohol beverage known as either "clandestino" or by the plant's name. The roots of Lechuguilla can also be used for making soap because of the high concentration of saponins. The water stored in this plant is sold in Mexico as a sport drink as it is rich in salts and minerals.