The general rule is: your report all your income on your home state return, even the income earned out of state. You file a non-resident state return for the state you worked in and pay tax to that state. Your home state will give you a credit, or partial credit, for what you paid the non-resident state.
Since WY does not have an income tax, you do not have a resident return to file. But you still have to file a state return and pay tax on that income to the work state (CO). This is how it works (in most cases): You file a nonresident return for the state you worked in, paying tax on only the income you earned there.
