If you haven't started apple trees from seed, here's a good demo. How to grown an apple tree from seed
(hopefully that link works) I've had good results with starting apple seedlings in pots, but you want to make sure they're not in the pot so long that they get root bound. Otherwise you can start them in the ground, but it's a little harder to keep track of them, at least it is for me. By the way, if you're planning on germinating apple seeds this year, I would do that ASAP for this year's growing season.
Or if you don't want to start apples from seed you can always order rootstock from someone like Burnt Ridge Nursery.
After you have a bunch of apple seedlings ready to go, and they're about the thickness of pencil or a little less, then you're ready to graft. Now you need scion wood (cuttings) from apple trees that you think might do well in your environment. You can get scion wood from some orchards, you can ask for (or trade) scion wood from people on Permies and NAFEX (North American Fruit Explorers, Join their facebook page if you're on the FB), or you can cut your own scion wood from any local apple varieties in your area (with permission of course).
So when I say cultivars I mean apple varieties that you might buy in a store; Granny Smith, Red Delicious, etc. but in your case you'll want to find late blooming/early ripening varieties. I mostly work with a tree I found here in town. I think it's a "wild" apple but it's actually not bad tasting, and if it grows, blooms and fruits in this environment then you know you have a winner. This spring I'm also ordering scion wood from Masonville Orchards (near Loveland, CO). I'll be trying Wealthy, Pristine, Fameuse (snow), and Gravenstein, I would also like to try Redfree but Masonville Orchards doesn't have that available.
And if you're going to take your own scion wood from a local tree, do it ASAP (and it may already be too late in the Denver area) since you want to take cuttings while the tree is still dormant. If you want to try a local tree I found here in Estes I can send you some scion wood, but keep in mind it's not the high quality "dessert" apple that you might be used to.
Hopefully that answers your question and hopefully the answer wasn't too long winded!