Currently, you're better off using your CO number. Not for mileage earning purposes, as both programs give the same amount of miles, but for upgrade purposes. Until 3/3, if you're flying CO, use your CO number and vice versa. Also, if you're flying UA at all before 3/3, you should link your accounts to "upgrade" your UA status to 1P (which will be the match of your CO Gold status).
Chris