The RSU's will typically appear as income on your W-2 form when the stock vests. Since the income was earned when you worked in Colorado, it is Colorado sourced income and will be taxable there. You will get a credit on your tax return in Ohio for the taxes paid in Colorado, so there will be no double tax of income.
The tax withheld when you sell the stocks will be reported on your W-2 form or form 1099-B. You will receive the form 1099-B reporting the stock sales which you will need to enter on your tax return. You may need to adjust the cost basis reported on the 1099 form to subtract any ordinary income reported on your W-2 associated with the stock.