I moved to the Phoenix area in February '06. The first summer was brutal. There were way too many 113*-115* days that year. I was good to about 108*, but after that I was miserable.
Something you'll need to do is get used to doing is keeping water with you at all times. The air is usually dry enough that after a 45 minute trip to the mall that I'm parched...and I never quite notice it until I've walked to the car. Even during the winter...keep it with you.