It has been over a decade since I hunted in there. That was as a resident of another state at a time we picked up leftover cow tags (maybe should have had a clue with that). At the time we were completely unfamiliar with the area, but knew just a few of the roads around Sheridan. On advice from a local wildlife-related person, we located ourselves in the southern part of the unit, SE of Burgess Junction. We later found that most of the elk bail out of there during archery season and go to private land. Where we were was just a short distance from the Front, and it was clear that a lot of elk had already dropped off the escarpment. We did see a lot on the golf course. One thing about that southern area that we learned quickly was there must have been a microburst or something like that that had passed through a very large area. Deadfall was unbelievable and impassable. In the area we had first intended to hunt, we just had to give it up and try elsewhere. Since stuff rots slowly in these parts, it is probably much the same. The elk really won't be in that stuff, and it is too dangerous to mess with if you want to remain injury-free.
Looking back, it would have been better if we had moved to north of the Burgess/Dayton area, but we had limited time and pulling camp burns a lot of time. It appears that there is a lot of National Forest up that way, and there may not be such protective lower elevation private land so close. Very many new owners up there, around Sheridan proper, where elk move for winter range along the Front will not entertain hunting on their private reserves.
My best advice is look at some good areas of the National Forest north of Burgess Junction, and spend a lot of time studying forest cover using GoogleEarth. Flying over can provide a lot of good scouting information for a new area. You may be able to identify some likely looking areas. Dry as it is, I would be looking for places where small high elevation ponds are visible, or where watercourses at least appear green. The east slope of the Bighorns does have quite a bit of water, so pay some attention to that. If you plan to hunt the edges of private/public, I would strongly recommend getting the appropriate GPS chip so you know your boundaries. I am assuming since you said you had been in CO, you know what elk habitat should look like. You will need to plan to get back into the forest, there will be plenty of other hunters up there.
Once you find an area you like the looks of, call a local game warden or WGFD biologist from the area. You can call the main office in Cheyenne, of wander around on the WGFD website until you find a listing of Game Warden phone numbers
Based on hard experience at the southern tip, I would not waste time again down there, except maybe archery.