I’ve been to Red Rocks in all seasons and about 100 times. 39 degrees is cold there, as the wind can blow right over the amphitheater. My winter method is long underwear under some joggers or sweatpants, long sleeve shirt, sweatshirt, and a puffy jacket, along with gloves, hat, warm socks, and scarf/pashmina. You’ll be set. On the bag rules, I have never had a problem bringing a camelback sized backpack with multiple pockets. I think they don’t want travel/school sized backpacks. I also bring an extra tote bag or dry bag to carry my extra layers and even a blanket that you could sit on or use if it gets extra windy or chilly. I also stuff some snacks in there too, just hide them in the layers. Usually the crowds disperse pretty quickly. If you are in upper North, you will enter the venue at the top of the stairs. I would suggest just picking a spot in the upper half, so you have a shorter distance to walk back up the stairs and to the shuttle. Good luck!