I have my cities settled on a main continent.
I have also recently settled a new island, where I have 3 (soon 4) cities.
I am considering making these cities a colony. Hopefully that will help my research, by leading my vassal into a different tech path?
Would you generally consider it to be worth it?
One question i have is what exactly happends when I proclaim these cities a colony? What AI Civ will be running them? A new civ or one that is currently in the game?
I am the first civ that settled on this new island.

A new civ will enter the game to take control of the colonies. I believe that the colony will more or less be your permanent vassal, unless you get yourself conquered by another civ. Another option you might want to consider is building the Forbidden Palace or Versailles on the island. This will help tremendously with colony expenses and still give you the benefits from the island. By turning your island cities into a colony, you won't gain directly from the commerce and the resources, but if your expenses are extravagant, then you have no choice.

You can also adopt State Property to eliminate colony expenses.
Be aware that the 4th city will make the colony expenses significantly higher than they are at 3 cities on a single other landmass.

^does SP really eliminate "colonial payments"? i thought it only cancels what you pay "from the distance to palace".

^does SP really eliminate "colonial payments"? i thought it only cancels what you pay "from the distance to palace".

AFAIK they fall under one and the same.

Specifically, colonial maintenance is capped at 2x distance maintenance from the palace.

Usually, though, for 3-4 cities you're best off just keeping them. If you just want a colony for some reason, go f1 and click the fist icon and pick what you want to liberate.