On your federal tax return you put only your mailing address. It doesn't matter what state you reside in.
I don't think you will have a problem with Colorado. The Colorado state tax return asks for your mailing address, and asks separately about your Colorado residency status. So you can be a Colorado resident and have an Oklahoma mailing address. (You will be a part-year resident for the year that you move, unless you move on January 1.)
If you file your federal tax return with your Oklahoma address, you might get a letter from the Oklahoma Tax Commission saying that you have to file an Oklahoma tax return, because they might assume that the address on your federal tax return is your residence. You will have to reply to the letter explaining that you are not Oklahoma residents and have no income from Oklahoma sources.
