Filing as a Foreign Entity
The easiest and most cost-effective way to move your organization to Colorado is to file as a foreign entity with the Secretary of State. However, you'll still need to have a registered agent in the state which you originally incorporated.
You will also need to register as a Charitable Organization with the state in order to solicit contributions.
Dissolve the Organization in the Original State
You may also choose to dissolve the organization in the original state, then reincorporate in Colorado. Keep in mind that this option requires you to once again apply for 501(c)(3) status and EIN. Of course, this option requires more time and money as you will have to go through the complete process of starting a nonprofit.