Keep in mind Arizona is a Constitutional Carry state. You can carry (open or concealed) anywhere it's not prohibited to carry. (Still worth getting your permit here, though, since it'll let you go into alcohol serving establishments who aren't flying the "meat bags in here" errr, no guns sign.)
Unless you live in Phoenix or Tucson, you're usually within a 10-15 minute drive to public land (desert) where you can shoot. Plus, there's a plethora of gun shops everywhere and plenty of organized ranges as well.