Well remember it's a dry heat...except when the rains come!
I enjoy shooting here-but it will be drive.
http://www.tucsonrifleclub.org/
Indoor,
http://www.marksmanpistol.com/
haven't shot here yet but heard it's nice-http://www.pima.gov/nrpr/shooting/index.htm
If you want open carry or ccw it is legal here without a license but there are certain restricted places-including Indian lands.