A couple of years ago NW got me to PHX (My final ticketed destination) too late to make a connection with an America West flight on a seperate ticket, and they put me up at the DoubleTree and were able to change my HP flight to the next day without penalty.

Today, in Chapter 11, and advising their employees to dumpster-dive to stretch their meager pay, who knows?

If you can't do it on one ticket you might call and see if NW and CO will make a note in your reservation record about the connecting flight, which could help if you misconnect.