No written bill of sale is required so do your due diligence as the seller to ask if they buyer is a resident and not prohibited from owning a firearm. Some people go one step further and ask to see a valid CO ID and some even ask to see a CCW even though neither of these is required. I ask via email the two aforementioned questions and if the ATF ever comes knocking I look like the champion because I went that extra step and have a written acceptance of terms. As of right now none of this is required as proof of sale in the state of Colorado though so you do whatever you are comfortable with.

If you have further questions I suggest a search because this really has been covered ad nauseam.