Yes, you can get a protection order. With all of your questions, it would be really wise to at least meet with an attorney to draft the verified complaint for the protection order and walk you through the process. It is not that expensive and it is your welfare that you are talking about. There is no price on your physical or mental health. Many times when I was a county judge, people who were requesting ROs had no idea ho to chronicle all of the events, what to say when I asked them questions, and oftentimes either were at one extreme (in hysterics) or the other (minimizing). This is an important procedure and you will need to file for parenting responsibilities as well.
The information provided in this answer does not create an attorney-client relationship and is not considered to be legal advice.
Here is the link to the Colorado instructions on this (below). This should answer the "how to" portion of your question. I just skimmed the instructions and I note that venue might be an issue for an out-of-state boyfriend. And I don't know the answer to whether a protection order will work out of state... I really doubt it. I don't think you should assume it does without a professional opinion that it does. For that reason, I agree that you should probably seek an attorney to help you with this.
If he's lost his mind, then I also think you might consider that your boyfriend might not care if there is some kind of court order in place, even if you get one. Keep your self safe and your son safe.
Separately, have you called the police? If you're in fear of your life, and that of your son's, I guess I would do that immediately.
Finally, as a practical point, stay off of social media like Facebook and Twitter and MySpace.
Best wishes and keep safe.