I use copper coloured black plastic, this allows me to have multiple colours on the final design (by cutting through the copper).

There are 4 circles in the design, each on represents a stage of cutting and the outline circle is never actually cut.
The first two stages are low power etches, the places where it gets cut twice allow some height differences in the final item.
The third stage is a low power cut to expose the black lines meant to look like transformer coils.
The fourth and final stage cuts holes through the plastic to let the light shine through.