When canoeing through Labyrinth Canyon of the Green River in Utah in September we came across these irridescent blue beetles in quite a few different places. They were often in large groups on the same plants each time we saw them. Don't know the plant either. Here's a photo link:
http://outdoors.webshots.com/photo/2541699590058669248ozSmTF
I think you're right that they're cobalt milweed beetles. I couldn't tell by what remained of the plants they were on, but I saw swamp milkweed plants in another location where we were camped.
