If you ever go a bit north of Phoenix, there's the Ben Avery range which is used by the National Muzzle Loading Rifle Association. You can always drop it off there and ask for a tax receipt.
However, I think the best thing you can do is to hook up with a black powder shooter who will introduce you to the hobby. You might not want to get rid of it so fast afterwards.
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Vigilantibus et non dormientibus jura subveniunt. Molon Labe!
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