I'm not sure there IS anyplace in Yavapai or Coconino County that sells real black powder. I called J&G Gun Sales in Prescott, and they didn't know anyone up there. The ONLY place in Maricopa County that sells it anymore is Thunderbird Cartridge Company, and, unfortunately for you, it is in Laveen, at the extreme southern end of the Phoenix area. Their phone number is (602) 237-3823. If you're going to be down in Phoenix during weekday business hours, give them a call a day in advance. That lets them dig out the black powder during their (once-daily) trip out to the special "bunker" they keep the black powder in, and then they can hold it in their main office for your pickup. Last I checked, they were selling it for $13 a pound--which was up from $12 a pound several weeks previously. When I called two weeks ago, they had stopped selling altogether for some weeks (they say) while they iron out some issues with the federal regulators--but they say they will resume selling once they get that out of the way. As Laveen is quite a drive, even from most of the Phoenix area, I try to just buy a bunch when I go. Also, the way prices are going up, it's probably not a bad idea to stockpile some. (Especially if you've got to drive from Prescott to do it.) They carry both Goex and Graf, for the same price, and I think the conventional wisdom is that Graf is just a bit more easy to clean than Goex. Goex comes in metal cans; Graf, in plastic jugs, kind of like a motor-oil jug, only a bit smaller. So: your first order of business is going to have to be to call Thunderbird and see when they're going to be selling it again, and arrange to pick up whatever quantity you need. (Actually, you may first want to figure out where you're going to keep it at home. I've been putting mine in fire-resistant safes, since I figure my biggest risk is that the kids may start a fire, or start playing with it, so a fire-resistant safe is probably the safest arrangement.)
Good luck!
P.S.: If you DO happen to run across a store that sells real black powder ANYWHERE in Arizona, it is your moral duty to get back on this forum and let us all know. If there's another place, we'd love to hear it.
P.P.S.: Another option may be to buy it at some rendezvous. The NMLRA is having an event at the Ben Avery Shooting Range (up a little more towards you, off I-17 just a little ways north of Phoenix, around Carefree Highway), I believe in late February. I gather that they usually have black powder for sale there. Kind of a wait, though.