They're nearly universally green and can be a bit tough to distinguish from any other newly emerging leaf.
However, if you look closely, you may notice that the new leaf is folded shut and not opening up like a normal leaf, that it looks like multiple new leaves emerging all at once, that it kind of bulges a bit (i.e. fat/puffy looking), and the "leaves" of the sheath tend to be a bit thinner or more delicate than a new leaf.
If you shine a light through a sheath, you'll see the outline of the internal bracts inside. Often times, the base of the growth will also be bulging and look particularly thick and bulbous down near the surface of the potting media.
Here's a couple of examples I found just a moment ago (and please ignore the dead leaves and brown leaf tips, I haven't gotten over to this end of the shelf to cull old leaves and to collect the plants that are preparing to bloom).
One is of a newly emerging spike. It's hard to tell it's a spike since it's fairly young, it looks very much like a new leaf. However, you can see from the "shadow" cast by the light shining through it, it looks like there's another leaf down inside that leaf. A good sign it's a sheath.
The other photo shows the sheath after it has emerged and at this stage its much more clear that this is a spike. I included it because it also gives you an idea of the slight differences in shape you may begin to notice when it first starts to emerge.
