Places to shoot... To be safe I always drive off the road at least 10 miles and find a good back stop. Being geocachers i'm sure everyone has a GPS. Just look at the map, make sure there are no camping grounds, roads, personal property, or nature preserves nearby.
We always drove out to courthouse rock (search for courthouse rock arizona on google maps). If you do choose to go there, fire ONLY at the rock. Also it might be smart to yell at it to make sure there are no rock climbers. A lot of people shoot there, it should be pretty obvious to climbers that we shoot there (there are abandoned cars being shot up, all sorts of stuff with bullet holes in it, not to mention the .50 rifle rounds we sent at the huge rock) but the climbers never seem to pick up on the cues.
The other thing to consider: they are thinking about outlawing shooting in the wilderness due to brass not picked up, clay pidgeons not picked up, damage to cacti, trash being littered, and killing of wild animals without permit/ intention of hunting. If you do go to our area, please make sure you leave it as or better than you found it.
Also going to state funded shooting ranges, aKA the controlled firing lines where you have to be babysat, is supporting the cause of gun owners in that state. The funds go to maintaining the proper ranges as well as cleaning up the messes shooters make in the wild. Sometimes they are not the friendliest people, but then again, if you go to a shooting range for service, you need a new hobby.