With only a couple exceptions (AA and UA are the only ones I know of), airline miles cannot be moved from one airline program into other airline programs. (AA and UA cannot even be moved into other airline programs DIRECTLY, but 50k miles a year of each can be moved into Diners Club if you have one, and then later moved to most any other program from there, with most airlines losing about 50% of their value in the transfer process.)

There are other things you can use Early Returns miles for, which you can see by logging into your Early Returns at www.frontierairlines.com and then looking through the Partners. But you'll need 7500 miles minimum to turn it into a car rental award, and the only thing I see that you can get with less (which would require you to go to Colorado again, which unless you did it on another airline would mean you'd have more Early Returns miles to unload after that!) is:

"Redeem 2,500 EarlyReturns miles for an adult ski lift ticket at Vail, Beaver Creek, Breckenridge, or Keystone resorts."

You can REDEEM Early Returns miles on Midwest or Virgin Atlantic, but only once you have enough miles (tens of thousands of them) for an award. So if you only a "few thousand" that would seem to be out of the picture.

Btw, just in case you're close to 5000 miles: The no-annual-fee Frontier Airlines MasterCard gives you 2500 miles just for signing up, then up to 5000 miles with a balance transfer (with something like a min $3, max $50 transaction fee for a balance transfer) and/or more miles with purchases. If you're close to 5000 miles, you could do that just enough to get to the 7500 mile level and then redeem for a 2-day Compact car rental at Alamo, National, or Payless. If you did it using only purchases, it wouldn't cost you anything (except for the miles you wouldn't get somewhere else from making those purchases on another card).