They will add your FF number upon check-in. Head to the F-class counter, flash your card and don't worry.
US uses another Res system (EDS Shares), so even if CO cannot add your FF number in its system (still SystemONE?????), US will be able to do this (you will not get the miles as awards are booked in non-accrual classes: O, I, X). I have always had my FF number inserted, while flying on award tickets.
CO uses a version of EDS SHARES as well.