Even though dimensions are created as a single object, you can control the properties of individual elements separately from the whole. For example, you can set the text to be a different color from the lines and arrows: You can even set the extension lines to be a different color from the dimension line: But a relatively new feature (since AutoCAD LT 2008) is the ability to set a different linetype for the extension lines as well. They don't even have to be the same linetype: These properties can either be set for the entire dimension style in the Dimension Style manager, or for individual dimensions in the Properties palette.

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