Morels are a rare treat here in Arizona. For the most part, they will be black morels in areas of recent forest fires up in the conifer forests above 6000 feet. They like a cold, wet winter, and we had an exceptionally warm and dry one this year. I have been looking since mid-April with no luck. I think it's a bust for this year.
Yellow morels can sometimes be found in riparian areas in the high desert, growing under cottonwood trees from late March to early May. Sedona is definitely a place you might find some in a good year, along Oak Creek and its tributaries, Spring Creek, or down at the Verde River in Cottonwood. They are pretty rare and serendipitous, and I have heard of none being found so far this year. I run the Arizona Mushroom Forum (www.arizona-mushrooms.org) and belong to the Arizona Mushroom Club (az-mushroom-club.org), so I keep pretty tuned in for news.
There is a small possibility that morels will appear sporadically later in the summer after the monsoon rains start. A modest quantity of yellows was found on the August 2012 foray of the Arizona Mushroom Club up on the Mogollon Rim above Payson at about 7500 feet.
I hope you like boletes, though, because we get them in abundance up in the high contry from July through September, once the monsoon rains start. Really delicious B. edulis and B. barrowsii especially. And dozens of other kinds of good edibles. The Arizona Mushroom Club runs forays to the Mogollon Rim and White Mountains and you should try to come along. Check out the web sites above for more information.