Just my 2 cents worth here... as one who sold a house, packed a truck and just CAME without knowing what I would find beyond the support of the FSW bunch - which turned out to be just what I needed!

If you are willing and able to show up each day, sober and ready to work, you can find a job here. If you are willing to learn a new trade, as you say, you can find a number of them here. The recession has not really affected us here yet, but it will. Those who are solid and reliable will have the jobs available, trust me.
Can you swing a hammer? Saw a board? Use common tools? The construction industry has been crying for help for many years here, and that's not apt to change soon. They are happy to train good workers. The oil fields and coal mines are still open and, though that may contract some, they are not apt to close any time soon. They will train you for most jobs, I'm told, and have trouble finding RELIABLE help.
And, if you'd like to work for yourself, consider studying small engine repair or any other field of repair and recycling of materials and machines. The one thing that remains in any recession is the need to repair and reuse, since buying new isn't as easy or attractive as it is in boom times.
But, just a hunch, don't totally discount your experience and expertise in security. While it might not be what you want to do ultimately, it might be a bridge that would give you time to develop other skills and build the life you really want and need here in Wyoming without waiting there any longer.
Just some ideas...
And welcome!