That would be a big improvement for sun control - i would get a pro installer personally - (in a more protected location i might feel more comfortable with a DIY install)

The sails seem pretty nice, but would it be prohibitively expensive to install a pergola? It would be so nice to have one....

Shade sail, canopy tent, and gazebo are all good shade options. https://www.quictents.com/blogs/news/lets-get-out-of-the-house-your-guide-to-outdoor-shade-equipment

Any of those will work of course but for the long haul plant some trees!!!

COSTCO sells retractable awnings.

https://www.costco.com/awnings.html

Amazon sells retractable awnings also.

Our patio is oriented SW. Before the trees grew there were valances on the pergola and umbrellas in use too.

Once lived in Lakewood CO so know your tree selection there is somewhat limited.

As the sun sets it will come in under the shade sail. Our previous house had a patio that faced west. We had a gazebo that our table sat under. Sun still came in under it as the sun set.

I would do a pergola or something with a roof and then that has roll down sides. We are in Hawaii now visiting and this is very common here to help with the sun as it sets. They have sun filtering materials that let light in but not heat.

Here are a few ideas:

We installed this one from Costco. My husband and I put all of the pieces together (and we have no experience) and a friend came with 2 other guys and they erected it.

We live not far from you and so far we’ve found these cantilever umbrellas on a wheeled base to be the most practical shade option for us. They can be tilted almost vertical for the evening sun and the wheels allow them to be re-positioned as the sunset moves from south to north during the summer. We have three of them. However, we are religious about putting them down when we aren’t around and keeping them covered so the sun doesn’t rot them. This will be our third summer with them:

All great options except for a pergola. By definition they are wood structures with spacing between the horizontals on the roof. You won't get any meaningful shade from a pergola, unless you have some sort of plantings blocking out the sun. That will take quite a long time to achieve.

Diana is right about the pergola, unless it has a roof. And the sun will get under the shade on the west.

A screen can help with the sun coming in under an awning, but it’s more of a project than a sun shade. I grew up in Colorado - I miss the sunny days more than anything! You get a lot of sun. Definitely talk to a professional about a shade/canopy. They will have ideas for you. Think about planting some evergreens in the fall. Norway spruce should grow well there and help with some shade.

So yeah a pergola with a roof is a gazebo, which can be many different shapes--rectangular, square, octagon, etc. and has a solid roof.

A pergola or gazebo would be good, and you can hang curtains along the west side to keep out the late day sun.