I find winter camping to be a journey that takes a few years to start dialing in. Colorado, I am sure, would be spectacular, but it might be a tough introduction to winter camping if you haven't been at it for awhile.
Since you said "out West", perhaps there are other options that might interest you. I am into hiking/backpacking, boating (canoe/kayak/raft) and skiing/snowshoeing, (not cities) so my opinion might be a bit biased that way, but here are some suggestions that world be a bit milder than Colorado is likely to be:
- S. Arizona and interior S. California (not LA or San Diego)
- Lower elevations in S. Utah (still could be pretty cool).
- SW Nevada; Lake Mead, Valley of Fire, and Death Valley N.P. (this is the best of the best for you IMO)
- S. Sierras; Sequoia, Kings Canyon, and Yosemite N. Parks (yes, there might be snow, but not the interior cold of Colorado). And if it is snow play you are after, there is a good chance you will find it here.
- N. California and S. Oregon coast; hwy 101 through the Redwoods and small quant coastal towns. (yes, it is likely to be rainy, but it seldom gets very cold) And, should you make it up to Oregon, the State parks are open year round with power (bring an electric heater) at reduced rates.
So those are some more milder climate suggestions that are even further "out West".
Let us know where you wind up and ..... Have Fun.