I always send my settlers to other islands / continents but they become another city for me, not a colony.

This perplexes me too. The manual says that overseas cities can be granted colony status, which makes them kind of vassals. And that is supposed to be achieved through the domestic advisor screen. But I didn't find any way to do that. Maybe it's related to a late tech I haven't discovered yet.

I found that first you had to click on one of those city's in the Domestic screen to highlight it.

Then next to the exit button a "Fist" icon should show up, click on this and another dialog box will pop up with a list of those city's that are on another continent, they should be grouped together but there may also be other city's in your empire on the main continent that "desire" to be free these will be listed individualy, make sure you click on the one you want to grant freedom to.

I did this quite late in my last game so i dont know if a tech is required before you can do this, also these where city's that i had captured.

You need minimum two cities , on another landmass.

F1 , or quicker, alt F1 to go to the 'liberate city' mini-screen.

Incidentally all three dont have to be on the same landmass. Just not the same one as you