Welcome to AZ. I have lived here now going on 10 years. I love it and won't live anywhere else. I live in Florence, (Anthem) halfway between Phoenix and Tucson.
We do as others do, after dark walks (but check the pavement even several after the sun goes down, concrete holds the heat and burns can even happen after dark!!!) I find early morning walks better, just as the sun comes up. Concrete has had many hours to cool down.
Yes, your first summer is not fun!!!!! (Well heck, no summer here is fun, but its the opposite of living up north. They go from their heated home, to a heated car, to a heated store. We go to a air conditioned house, to an AC car, to an AC store. PLUS we have the benefits of pool and water park fun, which are AWESOME in the summer!!!!! Take advantage of it if you have one!!!!! I set up a very small shallow pool for Bella last summer, she loved sticking her feet in it. LOL (But also check the temp of the water, it can also get too hot in a very tiny pool)
Good luck!!!