I'm not sure how to do that exactly, but: In face mode, goto the select menu, select overlapped faces. That will select the overlapping faces, I don't know how you get a permenant colour change on them though.
If you don't feel like using the connect dialogue or what something more precise, right under Repeat Last in Edit Poly is a option for constraint. You can set that to Edge or Face, insert your loop and then set it to Edge and move it where you want it.