Well, it's two different climates, really! Phoenix will be dry, sunny, summer temps. 80s/90s during the day, down into the 50s/60s at night (sorry, I'm rushing and putting these in Fahrenheit). Really pleasant. High desert will be gorgeous too, but expect classic fall temps. 50s/60s during the day; if it's sunny if might feel (deceptively) warmer -- until the sun drops to the horizon or the wind picks up. Nights may dip below freezing and you could even get a little snow if you're lucky -- Grand Canyon with a dusting of snow is so gorgeous. (Whenever we camped in northern AZ it was always colder than forecast at night, but staying in hotels you won't freeze your tush off the way we always did!). Sedona will be somewhere in between the two, temperature-wise.
Definitely bring layers -- merino sweater, chambray/denim shirt, lightweight puffer, something wind-proof, both a sunhat and something to keep your ears warm. Your western belt and booties will feel right at home! I adore Arizona, especially the higher elevations. Lots of nice food stops in both Sedona and Flagstaff, but I have a special fondness for Macy's Coffeehouse in downtown Flagstaff -- Euro-style cafe/bakery, with lots of hearty veggie fare and very kind staff. Nodding along with delurked's list of favs as well.