I don't think anyone has had much bad to say about their location at the Hotel Cheyenne. Jesse James and Billy the Kid are actually closest to the restaurants and bar in the main reception block, but I suspect Wyatt Earp might actually be closer to reception itself.
We were in Sitting Bull, which is riverside, our room overlooked the play Teepees and the play fort was just a few steps away from that. On the hotel map, the Cheyenne looks sprawling, but its not really like that at all. We were no more than 2 minutes from the door of reception to the main entrance to the Sitting Bull block.
After Jesse James, Billy the Kid, Wild Bill Hickok and Wyatt Earp, the next nearest to the main reception block, and the shuttle bus stops etc, are Soaring Eagle, Butch Cassidy, Sitting Bull and Annie Oakley (the only onsite hotel laundry, should you want to use that, is at the Hotel Cheyenne, between Sitting Bull and Annie Oakley).