Because you probably look young, I would recommend reading some threads on OCDO regarding the carrying of a small video recorder to record any and all interactions (gun-grabbers have been known to make the Devil look honest). FreeInAZ should know what the best recorder is if you have funds; as a university student, I can really only afford recorders like the Veho Muvi Pro. AT THE VERY LEAST, carry a voice recorder. Applicable law can be found in ARS Title 13 Chapter 30 (Eavesdropping and Communications).
Other than a good holster and tucking in your shirt to avoid accidental concealment, I imagine you would be good to go. Best of luck!