I haven't done this, but here's my thoughts on the basics needed to run E85 safely.
First, I'd replace all the rubber fuel lines and make sure the steel ones are very clean. Ethanol is a very efficient cleaner and you'll wash any debris out of the lines into your filter or injectors. The rubber lines you have already will handle the e85, but it's not a great idea to re-use them without at least a thorough bench cleaning.
Second, you need to change the computer programming to allow for more timing and altered fuel tables with the higher octane ethanol provides. I would think this should be as simple as re-flashing the pcm with a flex-fuel tune.
Third, you most likely won't really be saving money. Even though ethanol is cheaper, it has a lower energy content (btu's per gallon) than straight gas. Even though you're filling up for cheaper you're going to see a dive in mileage.
Fourth, you may have to switch injectors. Because of the lower energy content you need more fuel to make the same power.
I'd go to a gm dealer and talk to the parts guy. Ask if he can pull up the fuel system, ignition system, and pcms for a e85 and standard denali (dunno if denali's ever came flex fuel but standard yukons did) and see which part numbers are different and determine what the differences are.
Again, I have not done this and have no desire to based on the loss in mileage along with the pain in the ass for little to no gain on power.
You'd probably be just as well off saving a few cents running e10 or e20 without changing anything. You'll still see a small drop in mileage though.