If you want just a certain distance, you can select the residues with a command that includes a "zone" specification.  For example, this command would select residues in chain A with any atom within 4.5 angstroms of any atom in chain B:

select :.a & :.b zr<4.5

zr is for residue-based cutoff, za for atom-based, and you can use < for less than and > for more than.  Once the residues are selected you could do other things to them with the Actions menu including coloring and writing a list of their names to a file.  (You can also do the selecting with the menu, but it takes more words to explain.)

However, there are other ways to find contacts that do not use a single cutoff distance:  "Find Clashes/Contacts" and "Intersurf" (both under Tools... Surface/Binding Analysis).  For more details on using zone specification or these other tools, please see this previous message: