We have investigated and applied machine-learning algorithms for Infrared Colour Selection of Galactic Wolf-Rayet (WR) candidates. Objects taken from the GLIMPSE catalogue of the infrared objects in the Galactic plane can be classified into different stellar populations based on the colours inferred from their broadband photometric magnitudes ($J$, $H$ and $K_s$ from 2MASS, and the four textit{Spitzer}/IRAC bands). The algorithms tested in this pilot study are variants of the $k$-Nearest Neighbours ($k$-NN) approach, which is ideal for exploratory studies of classification problems where interrelations between variables and classes are complicated. The aims of this study are (1) to provide an automated tool to select reliable WR candidates and potentially other classes of objects, (2) to measure the efficiency of infrared colour selection at performing these tasks and, (3) to lay the groundwork for statistically inferring the total number of WR stars in our Galaxy. We report the performance results obtained over a set of known objects and selected candidates for which we have carried out follow-up spectroscopic observations, and confirm the discovery of 4 new WR stars.