Ok, so there are at least 3 ways you can play this song. This is the capo on 6th
version. You can play this song without a capo (click transpose + 6 and play F# instead 
of C,
Db instead of G, Ab instead of D and Bbm instead of Em)but the chords are not that easy. 
Another possibility is to put the capo on the first fret (click transpose +5 and play F
instead of C, C instead of G, G instead of D and Am instead of Em)

Capo on 6th

Intro: C G D X 2
e|---------------------------------|
B|-----0----------0----------------|
G|--------2--0-------2--0---0------|
D|--------------0---------4----2---|
A|--2------------------------------|
E|---------------------------------|
 (with capo on 6th)

GI (320003@1)need a saving grace, a hiding place
             DI (xx0232@1)don't have forever or time to waste
CSo (x32010@1)don't let me be lonely

GI (320003@1)wanna shake this winter coat off my sleeve
           DDust (xx0232@1)off a record and just be free
         EmOh (022000@1)don't let me be lonely
          CNo (x32010@1)don't let me be lonely

C (x32010@1)           GWhen (320003@1)you're young you can fly
       D (xx0232@1)                      EmBut (022000@1)we trip on clouds 'cause we get too high
C (x32010@1)     G (320003@1)              EmWe (022000@1)grow up and then it's gone
   D (xx0232@1)                         COh (x32010@1)God only knows what we'll become

C (x32010@1)                            G (320003@1)               DSo (xx0232@1)don't let me be, let me be, let me be lonely tonight
While we're young and alive
         C (x32010@1)                    G (320003@1)                       DTake (xx0232@1)the keys to my car and the keys to my heart and just drive
                           C (x32010@1)    G (320003@1)DOh (xx0232@1)don't let me, let me be lonely

GWell (320003@1)the night rolls on like a long lost friend
         D'Til (xx0232@1)the sunrise bleeds like the bitter end
     CDon't (x32010@1)let me be lonely

GWell (320003@1)there's nothing to hide and nothing to prove
        DGive (xx0232@1)me all that you are, you've got nothing to lose
           Em (022000@1)                        CJust (x32010@1)don't let me be lonely, No don't let me be lonely

C (x32010@1)                            G (320003@1)               DSo (xx0232@1)don't let me be, let me be, let me be lonely tonight
While we're young and alive
         C (x32010@1)                    G (320003@1)                       DTake (xx0232@1)the keys to my car and the keys to my heart and just drive
                           C (x32010@1)    Em (022000@1)D (xx0232@1) C (x32010@1)EmD
Oh don't let me, let me be lonely
No
Don't let me be

C (x32010@1)            GWhen (320003@1)you're young life's a dream
        D (xx0232@1)            EmIt's (022000@1)a beautiful and a burning thing
C (x32010@1)      G (320003@1)              EmWe (022000@1)grow up, and then it's gone
        D (xx0232@1)                 CBut (x32010@1)the memory goes on and on and on and on and on and on and on

C (x32010@1)                         G (320003@1)               DDon't (xx0232@1)let me be, let me be, let me be lonely tonight
While we're young and alive
         C (x32010@1)                    G (320003@1)                       DTake (xx0232@1)the keys to my car and the keys to my heart and just drive
                           C (x32010@1)  GOh (320003@1)don't let me, let me be lonely
D (xx0232@1)                               CDon't (x32010@1)let me be lonely (let me be lonely)
     Em (022000@1) D (xx0232@1)                    CDon't, (x32010@1)   don't let me be lonely
G (320003@1) D (xx0232@1)                C (x32010@1)Em (022000@1)  C (x32010@1)   No, don't let me be, uuh, Ooh, lonely