Chip, I've been to Red Rocks a three or four times in mid-March (it's when I can go) and I've always had pretty chilly weather. Steve and I both wore power-stretch long underwear on every climb except Birdland, and we were never sorry. Even the Solar Slab got kind of cold as the day wore on. As you can tell from the pictures, I had a synthetic fill sweater on a good part of the time and that, together with the long underwear under softshell pants, made life reasonable.
Looking at average temps in Vegas is very misleading. The canyons can be ten degrees cooler or more, and it is often very windy, producing a cooling effect that could well be twenty degrees below the Vegas temps.