TLDR: Got pretty high up in RMNP a few weeks back. Saw moose, caught a ton of cutthroat on dries, the whole 9 yards.
Fish were pretty selective. The size 28 midge hatch was on, and that always makes things difficult. Most people I know don't even bother when the bugs are that small, but if you're really into dry-fly fishing know it's still possible to catch fish on dries when bugs that small are on the water.
The first key is a quality approach and cast. Polarized sunglasses make a huge difference. Wait to observe how fish are moving. Are they cruising along the shoreline, or are specific fish holding in certain territories? Let this dictate how you approach and cast to each fish. A 7'6" 3 wt or a high-quality, medium-action 4 wt. makes a delicate presentation on glassy high-mountain lakes much easier. I generally try to approach from behind the fish and lead the fish by 3-4 feet.
I usually rig up with a 2-fly dry rig with a larger terrestrial pattern in front with a small griffith's gnat as the second fly about 12" back of the terrestrial. I make sure both are doped up pretty good and floating high. I dope the leader too. I use two flies for 2 reasons: 1) double your chances of fooling a fish and 2) A sz. 22 griffith's gnat is impossible to see on the water, so the larger beetle acts as an indicator
Aggressive fish simply won't turn down the terrestrial. The gnat generally gets the selective fish even if it's bigger than most naturals. Part of that is cutthroat really aren't all that smart, but I think part of it is the gnat is a good-enough imitation of a mating cluster of small midges. The mating cluster is bigger than any one individual, and the griffith's gnat does a good job imitating these clusters.
Anyhow, none of this is groundbreaking or anything. It worked very well for me and my dad, and I hope it works for you. We probably ended up with a few dozen fish brought to hand and released throughout the day.
Enjoy the pics and have fun fishing in the high country.