AN ACR FLC ENTERED IMC WHILE ON A VISUAL APCH INTO GUC. AFTER MISSING THE APCH; AND FLYING AN INST APCH; THE FLC FAILED TO CANCEL IFR.

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APCHING GUC ZDV GAVE US HOLDING INST AT HBU VOR. JUST PRIOR TO ENTERING HOLDING WE WERE CLRED FOR A VISUAL APCH TO GUC. SHORTLY AFTER STARTING DSCNT WE ENCOUNTERED IFR WX CONDITIONS AND WERE AT 12000 FT RETURNING TO HBU VOR. DEN TOLD US TO CLB 13000 FT TO HBU AND I THOUGHT CLRED FOR RWY 6 FMS APCH. UPON REACHING THE ARPT THE WINDS WERE UNACCEPTABLE FOR RWY 6 AND WE LANDED VISUALLY ON RWY 24. GUC UNICOM WAS INFORMED OF OUR INTENTIONS BUT WE FAILED TO CANCEL IFR WITH DEN PRIOR TO LNDG RWY 24. DEPARTING GUC ON RWY 24 AT XA39; AFTER AIRBORNE DEN ASKED OUR POS WHICH WAS SW OF HBU VOR. WHEN DEN SEEMED CONCERNED ABOUT OUR ANSWER; DEN WAS TOLD OF OUR RWY 24 DEP. WE DO NOT REMEMBER THE CLRNC STARTING ANYTHING OTHER THAN CLRED TO DUFFEL INTXN. AS PIC I REALIZE NOW MY MANY MISTAKES. I SHOULD NOT HAVE ACCEPTED A VISUAL APCH SO READILY; AND WITHOUT CLRLY UNDERSTANDING TO WHICH RWY. THEN IN THE FAST CHANGING WX CONDITIONS ON APCH TO KEEP ZDV INFORMED INSTEAD OF GUC UNICOM. THEN ON DEP MAKING SURE THAT ALL OF US UNDERSTOOD THE DEP RWY.