It seems logical that the D&RGW would have bought the frames for the K37s from Baldwin, however, I'll mention this for what it's worth:
When Colorado and New Mexico bought what is now the C&TS, all the loose used tools and parts that the D&RGW didn't think they'd need any more for the Durango/Silverton operation were trucked from Alamosa to Antonito and dupmed in the low-celinged cinder block building we called Fort Knox. The used(up) and antiquated machine tools from the Alamosa shop that were not claimed by Bill Griffin, the roundhouse forman in Durango, were sent to Antonito and strewn about in the weeds surrounding Fort Knox. Among these was a huge horizontal planing mill. One day in 1977 or so, the C&TS shop foreman and I were over in Antonito poking around the weeds looking to see if any of the machine tools might possibly be rehabilitated for use in Chama. An old gentleman came by and remarked that he had scratched his initials on the planing mill when he was running it at Burnham planing the frames for the K37s. I don't remember if he showed us the initials to validate the story, but at the time, he seemed pretty sincere and old enough to have been working at Burnham in the late 20's, so I took him at his word. From that, I assumed the frames were made by the D&RGW at Burnham. Perhaps they purchased the rough-cut frames from Baldwin and finsh-machined them in Denver.