It'd be easier in Illustrator I think, but since we're in the Photoshop forum, create your initial letter as a pen line, centered in the letterform with the pen tool. Use the stroke tool (Edit >> Stroke) create a large stroke around the letter (you could use layer styles for this, too, I suppose). Duplicate the letterform you just made and drop it BELOW the present layer. Scale the path (Edit >> Transform Path >> Scale), change the color and use stroke to change the color. Rinse, repeat for each bit.