I hiked the CDT last year, so this is somewhat fresh in my mind still.
The Winds are beautiful. Populated, for the CDT, but worth going through. Pretty rocky terrain, don't expect to do high mileage, some modest water crossings along the way. I'm pretty sure there are books that describe routes, "how to do it", etc.
FWIW, as a southbound thru-hiker the only reason I still had bear spray with me at that point was that I hadn't been anywhere I could mail it home since Yellowstone.
You might look for information about the Colorado Trail (CT), such as at http://www.whiteblaze.net/forum/forumdisplay.php?420-Colorado-Trail
Generally good quality and well marked trail, at least the part that overlaps the CDT is definitely better, more "well known". Goes from Durango to Denver, lots of literature available on that I think, could make it easier to set up a section hike.
Note that southern CO is pretty tough in terms of elevation. At least for me, things just get harder when spending much time above 12,000', even when I'm as acclimated as I can get. But then I'm not a young lad anymore, that might make a difference.