Don't know anything about Arizona, but when I was living in NC, I had an old Celica that I sold to a guy for a few hundred bucks. For the next year plus, I kept getting notices from the local impound lot that my car was there, and that I needed to come pick it up. After about the 5th time, I almost went down and bailed it out myself to keep it, but apparently they believed me that I had sold it and someone came to claim it with the title. I don't know that a bill of sale would have proven more useful, but it's definitely not a bad idea if it's easy to come by.

James