Save the black powder not needed to open the jail. When it is time to defeat the Colonel, pour a trail of black powder down the train tracks in the tunnel leading to his lair. Start at the lamp near the mining cart and go down the tracks to where the Colonel speaks to you. Once his health meter appears, retreat. By shooting the lamp, it will fall and explode, setting fire to the powder. The burning powder will race down the tunnel and set fire to the Colonel, along with all the men with him who are chasing you. If you keep running from the Colonel, the fire will eventually finish him.