You didn't give a time frame, but the newspapers would probably be a place to look.
I found one reference to the KKK in Roswell at books.google.com
page 224 of a book called Hooded Americanism:the history of the Ku Klux Klan
by David Mark Chalmers
on page 454 of this book is a bibliography for chapter 31,
where it mentions 3 newpaper articles that you could also look up.
This book mentions Pioneer Klan No. 15 of Roswell. It seems they were around
in the mid 1920's-1931 at least, but didn't have a strong following as they did in other
parts of the country.
There is also an article here that mentions this Pioneer