I live in AZ. I was under the impression the GOP primary was open. I seem to recall when McCain was running for Senator last time, he pressured the state party to keep the open primary. Now that the state GOP has finally censured this old fossil, I hope he decides it may not be a good idea to run again.
You had better consult your state records, Arizona has semi-open primaries.
Arizona (Semi-closed, with primaries open only to unaffiliated or unrepresented voters, except for the Libertarian Party of Arizona primary.) It is possible to change your affiliation before the primaries and Democrats seeing a united front on their chosen one will change so they can affect the Republican choice. That does not go to say that they could change from Democrat to Republican, but why give them the opportunity to do so as an outsider. Close the registration changes well before the primaries.
http://en.wikipedia.org/wiki/Open_primaries_in_the_United_States