I was born and raised here in Phx so I might have an advantage but I think, like several others, that you just have to learn to embrace it
I don't have a/c in my truck or in my house, and really I don't miss it. Not having it gives me no basis for comparison, its just hot all the time. I think the reason everyone feels so hot out here is because they spend most of there time in a 65 degree office or house and in-between they are in 65 degree cars, the only time most people out here experience the heat is when they dash from one air-conditioned place to another.
If you're going to hike in the heat just make sure you drink lots of water, start early in the morning, take brakes, and, know your own limits, don't try to push too far or too fast.
besides, its a dry heat!