When I use the same brush for two different eyeshadow colors, I found that using postie notes cleans off the first color really good.
Sticky notes? You must think I'm so weird! But, just wait. You will see how they work so well.
After you finish with one eyeshadow color and you want to use another, but the same brush, you could mix colors on it and end up with a splotchy mess on your eyes if you use, say, navy blue and pale pink. But, I just swipe my brush across the sticky part of a post-it note several times. The eyeshadow comes off and the brush is clean enough to use another color.
Now, I am not saying that this is an alternative to cleaning makeup brushes. You should always wash them regularly. This is just something that you can do inbetween colors.