Things to keep in mind.
Thanksgiving break - You won't know when LMD will be for a while. for the first two years my S was there, LMD was 3pm. Last year they changed it to 12pm. There are limitations for when flights can be booked. Meaning your cadets departure from Denver can be no sooner than 3.5 hours after LMD and COS is maybe 2 hours after LMD. These are examples as I forget the exact time limitation, but it is close to what I posted. Returning flights. Don't worry about the weather, as long as their flight was scheduled to arrive with time for them to return to the hill safely before 7pm, they will be fine.
Xmas break - there is no way you can possibly book this flight now. Why? because there is no way to know when your cadet can leave. LMD is whenver their last final is. That can vary by several days. The first day of finals is on 12/11 and the last day is on 12/16. Some cadets will be done by 12/13 and some won't be done until 12/16. So I guess if you wanted to book it now, you could book it for 12/17 but know that your cadet won't be very happy sitting there waiting.
there is always a shuttle that runs from USAFA to both airports. You will get info on the schedules as we get closer. My son has never used the shuttle in 3 years. Always seems to find a way, either with sponsor family or just scopes out the airport lookning for other cadets or rides with a friend. it isn't all that hard, but the shuttles are there if you rather be safe than sorry.
One other thing to keep in mind. Cadets don't have to pay the baggage fees. At least my cadet has never had too. In most cases, they would waive it simply by showing his military id. On rare occassions they would ask to see his orders, but they have always waived it. There was one time that Southwest gave him a hard time because his bag was overweight, but they also ended up not charging him.