Wilderness Exchange is within walking distance of Union and they require you leave a bag with them when you go into the store, they may be willing to stash your bag for a few hours. No guarantee on that, but an option if you can't find anything else. They are only open 10am-6pm on Sundays, so you may have to wait around a bit or pick it up early depending on when you get there and will be leaving.
Steel thickness: lockers tend to be made from a standard thickness of steel, which is commonly 0.8 mm. thick; but heavy-duty or high-security lockers are offered as a standard option by some manufacturers, or may be available on special order. A typical locker of this sort may be constructed from steel 1.2 mm. thick, for example, and is usually fitted with three-point locking, regardless of the number of tiers.
Now that you’ve scored yourself some Denver luggage storage, the next thing on the list is finding things to do and places to explore. If it’s a Monday, a lot of the amazing indoor attractions and restaurants will be closed, but there is still plenty to do on any day of the week! See a concert at the Red Rock Amphitheatre, marvel at the beauty of the Cathedral of the Immaculate Conception or take a hike in the famous Rocky Mountains. You won’t regret it!
For longer term storage, there are many self storage units around the metro area. Not cheap, but then neither is paying extra baggage fees and lugging around extra stuff not needed for another leg of your trip, as it sounds like Terry might be doing. For example, I found "Downtown Denver Self Storage" with units starting at $45 a month. http://www.downtowndenverstorage.com/