From a civic pride point of view, I'd love to see a Phoenix Board, but I think that Las Vegas should actually be the first city from the current Southwest Board to branch out on its own.
Phoenix seems to account for more traffic than any other city in the region, including Las Vegas. Nevertheless, the types of posts about Phoenix are fairly similar to those about Denver, Albuquerque, Tucson, etc. Most of the posts are peer-to-peer chowhouding among those who live in the cities of the region and eat there on a day-to-day basis with real-life constraints of budget, traffic, etc. to deal with.
Vegas posts are for the most part a different animal. There are a lot of "money is no object" inquiries, a lot of very specific questions about which restaurant to choose over which other restaurant on a certain night, and a seemingly endless supply of questions about the minutia of eating at Lotus of Siam (e.g. "Should I wear boxers or briefs when eating at LOS?" -- I exaggerate, but only slightly).
For those reasons, if I click on a post without sufficient geographic labeling in the title and it turns out to be relevant to Denver, Tucson, or Albuquerque, I don't really mind. I usually learn a little something for a future business trip. The Vegas posts, on the other hand, are usually either so specific or so far outside my budget and interests, that I get more annoyed when they are improperly labeled.
Finally, I'd say that Las Vegas needs its own board simply because so many hounds from other regions don't know where to find it. It seems almost every day that the moderators have to move Las Vegas inquiries from the L.A. Board, the General Chowhounding Board, etc.
So, long story short: I'd love to see a distinct board either for Phoenix or for the entire state of Arizona, but I think that isolating Las Vegas is probably the higher priority.