How to make each color blink with a different frequency like slow or medium or fast?

As well as looking at the "Blink without delay" sketch, which is an Example in the IDE, you should take a look at the demonstration-code-for-several-things-at-the-same-time sketch, which is pinned towards the top of the Project Guidance section.

Here is a quote from Robin 2 about his sketch:

My sketch uses the concept in “blink without delay” to cause three LEDs to blink at different intervals, a fourth LED is controlled by a button and a servo sweeps back and forth at two different speeds. The idea is to demonstrate how different processes can be accommodated in the same general framework.

That sketch could easily be modified to suit your needs by removing the code relating to the 4th LED and Servo Motor.