
You've come to the perfect place to ask about AZ chickens! You've gotten excellent advice already but I'll add to it (and I hope others also do too).
1) While there are exceptions, it seems that a lot of heat tolerance is an individual trait rather than a trait inherent to the breed. So, that leaves you with a whole lot of great choices.
2) That's about it for keeping them cool. Shade and ventilation are the most important.
3) Either option will work, it all depends on your tolerance for risk. Free-ranging dramatically increases the chances of losing birds to predators. Most people have a coop with an attached run that are relatively predator-proof. This will allow you to protect them at night and while you are away from them. Lots of us also free-range when we can. Some breeds are more likely to fly than others. I chose heavier large fowl so they would be less likely to fly over the 6' wall surrounding our property. The only time they flew over the wall was when a coyote attacked and chased them over. If you can afford it, use hardware cloth or welded wire for your coop and run. Avoid using chicken wire if you can, it will not protect your birds from dogs, coyotes or raccoons. When you start planning, run your ideas through here and we'll be glad to give you our opinions.
4) Friendliness in birds seems to be hit and miss and often an individual trait; I've had very friendly birds from a variety of breeds. However, Russian Orloffs are among the friendliest birds I've ever raised. If you want to socialize them as pets, start a mealworm colony right now so that they'll be ready when you get chicks. Nothing tames a chick faster than a mealworm.
Keep coming back and asking questions, we're always glad to help.