ctfade, you need to pick up a copy of "The Arizona Gun Owner's Guide," by Alan Korwin. It's available at most gun shops, as well as online. Just make sure you get a current copy, as it's revised almost yearly - every time there are significant changes to AZ law.
It makes for some VERY interesting reading, and it will answer your questions about when and where you can carry without running afoul of the law. My copy is five or six years old, and I'll definitely be getting a new one when I get home.
If I remember right (and if I'm thinking of the right state), there is some prohibition against carrying in places that allow a lot of people (like over 2,500 or something). I don't know how many people the theater can accomodate, but you might want to do some reading to see if I am remembering correctly.
I would not be in the least surprised if the theater had a "no guns" policy, as well. Easy to ignore if you're carrying concealed, but since you're still waiting on that, you might be stuck for now.