There are 11 different species of Indian paintbrush that are native to New Mexico and I'm not sure which one you have. Regardless of which one you have, the Castileja spp. all are hemi-parasitic. According to Tara Luna in "Propagation Protocol for Indian Paintbrush Castilleja species" (Native Plants Journal, Volume 6, Number 1, Spring 2005, pp. 62-68):
"Unlike a true parasitic plant, hemi-parasites are capable of manufacturing their own food and obtaining water and nutrients from soil, but they also form specialized roots known as haustoria roots that attach to the roots of a host plant, therby providing addtional water uptake for the paintbrush plant and possibly some organic and inorganic nutrients. The relationship does not kill the host. Seeds do not require a signal from the host to initiate germination, and they contain endosperm that provides enough energy for the seedling to establish independently. Unless a haustorium root becomes attached to a host root, however, they will decline in vigor, remain stunted in growth, and never flower, or they will eventually die. The degree that a species can grow and develop wthout the host may vary widely between species."
The parasitized plant is frequently a grass. Because of this need for a host plant, a paintbrush plant usually dies if transplanted. Your best bet is to collect seeds and sow them in the fall along with another herbaceous plant. Bouteloua gracilis (blue grama) has been recommended as a host. Ms. Luna recommends using a plant that grows in the same habitat as the paintbrush you are planting. She has used beardtongue's (Penstemon spp.), Carex spp., Polemonium pulcherrimum (Jacob's-ladder), Phlox drummondii (annual phlox), and Lupinus texensis (Texas bluebonnet) as well as small bunch grasses such Festuca idahoensis (Idaho fescue). You should pick something that grows near your paintbrush and collect seeds of them as well as those of your paintbrush.
Collect seeds of your paintbrush as soon as they are mature and ready to be released from the plant. You will have to watch the plants carefully to be sure that you don't lose the seeds when they mature, but also don't collect them too early. Seeds that aren't mature when collected won't germinate. You can sow them directly in the area you want them at the time when they would naturally be released and hope for the best. They obviously have been doing this for millenia on their own and have been successful. Be sure to sow your host plant(s) at the same time.
Ms. Luna, however, uses cold stratification (30 to 150 days, depending on the species—generally, longer times for higher altitude or colder area species) and then sows them in containers. She says that annuals and semi-annuals will germinate without cold stratification, but the percentage of germination will be higher with cold stratification. Here is a general summary of what she does:
1. Soaks seeds in water for 4 to 8 hours. Pours off water and debris.
2. Places seeds between moist blotter paper and stores in an open plastic bag in refrigerator at 33-36°F for required time, checking weekly to see that moisture is evenly distributed.
3. Sows the seeds shallowly into containers and covers them lightly with perlite mulch. She sows the host separately. Germination is 69-77° F daytime temperatures with 50-60° F night temperatures.
4. After the paintbrush plants have 4-6 sets of true leaves (4-6 weeks after germination) they are combined with the host plant seedlings in the same containers.
5. At about 16 weeks they are ready for outplanting. Perennials usually bloom the second year after germination. The annuals and biennials flower the first year after germination.
The library at the College of Santa Fe or Santa Fe Community College library might be able to get a copy of the paper by Tara Luna (above) for you. The paper has details of stratification temperatures and times for various species of Castilleja.
Our database indicates that only Castilleja exserta (exserted Indian paintbrush) is an annual. The following species are perennials:
Castilleja integra (wholeleaf Indian paintbrush) Note, however, that Tom Clothier (see below) lists this species in his Annual/Biennial Seed Germination Database.
Germination instructions for C. integra is in Tom Clothier's Annual/Biennial Seed Germination Database.