It sounds like a good idea to me. The danger would be in being labeled as an "anti-government group" or perhaps a "terrorist threat".
I'm not sure if you're aware, but Colorado does have a State Defense Force more along the lines of a traditional militia. It is regulated in C.R.S Title 4 Section 28:
And by the way, you're probably subject to membership whether you like it or not:28-4-103. Supplemental military force. The governor of the state of Colorado may establish, enlist, maintain, and train and regulate an organized military force within and for the state of Colorado constituting a part of the military establishment for the defense of the United States and the state of Colorado, in addition to and supplemental to the existing organizations of the National Guard, to the full extent authorized by the laws of the United States and the constitution of the state of Colorado.
According to C.R.S. 28-4-104, Bill Ritter can order any Colorado citizen to duty in the State Defense Force. Nice to know huh?28-4-103.5. Persons subject to military duty - state defense force. (1) Every able-bodied male citizen of Colorado and those who have declared their intention to become citizens of the United States residing therein between the ages of eighteen and sixty-four years, except persons exempt by law, are subject to military duty in the state defense force. However, the following persons or classes of persons are exempted from military service: [truncated]