You can have someone drive you to the US Marshals who will take you into custody. There is a good chance that you won't face more charges having turned yourself in. There is no point to running from the law, just start doing your time.
Your previous bond will be forfeited and once you are in custody a Colorado judge will raise your bond amount to be sure you don't skip bail again. You could also be charged with a felony bail bond violation in addition to the charges already pending. Not the best thing to do in your case as if you are ultimately convicted, the judge will take into account the fact that you fled in imposing the sentence.
This answer is given for general informational purposes only and does not constitute legal advice. If legal representation is sought, an attorney should be contacted for that purpose.
Do you feel safe in Mexico? Maybe you should consider that there is an extradition treaty between Mexico and the US. If you were arrested in Mexico you would be held in a Mexican prison until the extradition process is completed. This usually takes at least 3 months but could take longer. Just imagine: 3 months in prison in Mexico. Then make your plans to get back to the US as quickly as possible.
In addition to what the other attorneys have opined, you should know that there is a federal charge known as "Unauthorized Flight to Avoid Prosecution," which applies whenever you leave a state to avoid prosecution. Typically the FBI obtains a "UFAP" warrant to obtain jurisdiction and then dismiss the charge once they pick someone up and release them to state authorities. In 10 years as a federal prosecutor, I never knew of anyone actually being prosecuted on UFAP charges.
Also, although the U.S. does have an extradition treaty with Mexico, extradition treaties are different for each country. As I recall, our treaty with Mexico is very broad, and I suspect that felony gun charges are covered, but if I were in your situation, I would want to know for sure, which you can do by talking to a reputable local attorney in Mexico--who do exist. Of course I am not encouraging you to continue life on the lam, but merely giving some information you may find useful.