Heya Edge!
I'm back at sea level (MA) for the holiday break...
When we moved to CO a few years back, it definitely took a few weeks to acclimatize. In about two weeks at most, you should see your body catching up and adapting to the "thin air" in Colorado. The simple answer is that your body produces more red blood cells so that it can keep and carry more oxygen at once. The complex answer is beyond my capabilities.
In the mean time, just drink a lot of water and keep getting out there...your body will catch up

Oh, and if you get headaches or get dizzy, sit down and rest!!
As for jams during the winter...I am taking a hiatus from the Friday Denver jams...but some of the younglings are still keeping it up I believe. There is also a bunch of open gyms in the area and of course, the COPK classes up in Boulder every Saturday..very worth coming to if you want to improve your skills and conditioning!!!
See you out there!!
Cheers
Jim