starting to catch on the trend of people buying tickets and then getting off in the middle. So far I think United is the only one really cracking down on it. I don't think you'll have an issue with Southwest.
One thing you have to take note of if you do this, in the event of a diversion or something like it, they will reroute you to your final destination listed on the ticket. So it is a small possibility, if something like a diversion happened, where you wouldn't ever land in Phoenix. You would then have to find your way back to Phoenix.