I lived in AZ for 4 years (1998-2002. I relocated from Boston, and I was worried just like you. (I'm back in New England now)
I never found a veggie support group, but there are plently of places for a vegetarian to eat (If you will be living in a densly populated area such as Phoenix). A particularly good place for vegetarians is Tempe, AZ (where ASU is located). Glendale and Mesa are also good in certain areas.
Many small towns/rural areas within AZ, however, are extremely veggie unfriendly.
Happiness is not the result of a mathematical equation comparing the good times and bad times someone has had. It is a state of mind.