This is usually done as an out and back. Park at the dam and run the Turquoise Lake Trail along the lake to Mayqueen Campground. It's a great trail to acclimatize on due to the minimal elevation gain and nice climbs.
For a great addition; continue on Mayqueen then left up the road to Hagerman Pass Rd. Take a right at Hagerman Pass Rd and then you're first left onto Sugarloaf Pass Rd. Run up the pass, then left at the top back down to Mayqueen on the Colorado Trail.