Control of colloid segregation and self-assembly is important for inkjet printing, precision coating, synthesis of nanoporous materials, and a variety of other modern technologies. We explore the method of dielectrophoresis to control the interaction of micro/nano-colloids in AC electrical fields and assemble them from a suspension into new classes of colloidal crystals and membranes. By tuning the frequencies of imposed AC fields on polydisperse silica micro/nano-spheres, we are able to effectively segregate particles with a size ratio of 5:2:1 and tailor 3-D self-assembled structures, while monitoring the assembly process via confocal microscopy. Using high-speed fluorescence imaging we also explore the mechanisms behind the AC colloid-dipole polarization and the multi-dipole interaction that drives the assembly of colloidal crystals.