You are on the right track.
Record High has a great selection of jazz, rock and some classical, etc. Located at 4242 E. University, Phoenix, AZ 85034. Right across the street is Little Miss BBQ. Stop there at lunch time for some great BBQ.
Stinkweeds is located just West of the NWC of Central & Camelback. Parking is behind the Camelback store front. They carry rock, indie, some jazz, etc. Next door is Arizona Hi-Fi. They carry gear in all price ranges from starter stuff to Nagra HD.
In Groove Records is located at 3300 N. 24th St. Large variety of record all types.
There are a number of Zia record stores in Phoenix area. Not recommended by me, but there is some bin diving and possible cherry picking to be done. Records are not cleaned and the light is too low.