Some states are also maintaining Do Not Call listings, but I didn't find one for AZ.
http://www.azag.gov/consumer/telemarketing.html
It can take up to 4 months after you sign on the National list for the companies to obtain the update. SO, meanwhile . . .
Make sure you tell EACH and EVERY caller to "please put me on your do not call list." each company is required to have one. If you say, "do not call me again," or "don't call here again" you have NOT said the magic words and under federal law they CAN phone you again next week!!!