Not on the West side, but I've bought salt cod (in the wooden box) at Whole Foods in Scottsdale, and the Phoenix Ranch Market downtown. Maybe the Ranch Market in Glendale has it? I've also checked at the AJ's in Glendale, and they don't carry it.
After a lot of searching I did find baccala on the West side. There's a small store called Al's meats at about 111th and Union Hills. They have 40lbs coming in early next week at $11.99 per pound. This is also bar far the cheapest I found.