Is it worthwhile to get a Masters in Finance before making the switch?
PS - I live in Denver, CO, which doesn't have a ton of financial firms.
I would suggest understanding what part of Finance is the most interesting to you. Are you interested in Technical Analysis (i.e focusing on characteristics of the market as opposed to characteristics of the company) or do you find Fundamental Analysis more interesting (i.e interested in the core business of a company and their published financials)?
If you are interested in Technical Analysis, I would suggest taking a few courses online to understand trading strategies. If Fundamental Analysis is more appealing, I would focus on taking courses in Accounting.
Once you have a foundation in investment strategies, try producing content on Quantopian.com - build a portfolio and search for positions at firms.
If you have a strong enough interest, a firm will pick you up.