I retired and moved from OK to CO in mid 2007. The company I had worked for has an incentive program that awards payments three years in the future for performance. I received money in 2008 earned in 2005 and a W-2 from my employer for those wages (Box 1) in early 2009. State income tax was withheld for OK. Do I pay OK and ask for a credit in CO, or ask for a total refund from OK and pay CO state income taxes?

You moved to CO in 2007 and were in CO in 2008 so any income received in 2008 is CO income.
You will file Ok return and claim refund of the taxes withheld. You will file CO return.
Read: Your U.S. Tax Return: Working or Living in Two or More states