Haha..I tried to do Cochise in the summer and it was on fire....litterally on fire...I bet the winter is ideal..I don't think there is much sport climbing and it is WAY the hell out there...I don't remember the closest town, but it wasn't close.
Red Rocks would be best for a group, varied skill levels, good winter weather, and lots of sport climbing, plus it is close to amenities in Vegas.