I'm not sure how micro you want to go, but Wedge & Bottle in Ahwatukee and Cheuvront both carry some cheeses from smaller producers. If you're looking for something specific, however, it would be best to call ahead to check on availability.
Also, Hotdish, Inc. (https://www.facebook.com/hotdishinc) offers some cheeses mainly (exclusively?) from Colorado and Utah producers, but they don't have a retail shop where you can browse their selection.
Cheuvront Wine & Cheese Bar
1326 N. Central, Phoenix, AZ 85004
Wedge & Bottle Cheese Shop
4025 E Chandler Blvd #44, Phoenix, AZ 85048