Benny, I've been flat towing my 2005 GMC Canyon(twin to the Colorado) 4x4 auto for two years. Its a pretty simple setup and a great toad vehicle. With auto transmission shifter in neutral, key on but not started, press 2WD and 4W-Low buttons on the electronic transfer case controls for 10 secs, it shifts into neutral (which means only the emerg brake holds it from rolling). Put shifter in park, turn key off and you're ready add the supplemental brake and off you go. No steering lock, No fuses to pull, no miles recorded on the odometer, no stopping to cool the tranny.
This proceedure is in your owners manual, verify the process is the same for yours. It also mentions some type of steering wheel block. When I asked GMC tech support what that was, they said it was a legal CYA in case you turned so sharp the front wheels turned full out and locked. My dealer recommended a bungee cord looped over the bottom center of the steering wheel to offer some resistance to turning out to full lock.
Don't forget to release the emergency brake before pulling out, or you find out how quick rubber burns. I know from experience