I live in Tucson as well. I've seen a few Ms around, but not a lot I would say. I went to Indi speedway down in Wilcox one times for a track day back when I had the 335i and there was an M3 there, turned out the guy worked in the next building from me. Other then that I heard the Autocross up Pinal Air Park is pretty fun, and you can take a short hour drive to Firebird for their track days. Hope this helps. Let me know If you need anything, I am usually on Mt. Lemmon when I feel like driving, it's a great road after 10pm when everyone else has left.
15 M4 / 14 M235i-Sold / 09 E92 M3-Sold / 07 E92 335i-Sold