Agree with other posts so far, unless you need to close down your MR acct soon, I would leave them where they are if you dont plan on using them for some time.
I would normally go with the airline that you already have miles in, which in your case is CO. I would caution you though, if you are saving these points for a true first class ticket, CO is not the plan for you. Since they don't offer a true first class cabin, you currently cannot redeem them for first class tix on other skyteam partners (other F class redemption options are available on non-skyteam partners but at ridiculous levels). There is a good chance this will carryover into star alliance.