I OC frequently. I also have a CCW for times when I don't want to OC. it's legal, and PD hasn't ever questioned me. I will say, that if being pulled over and you have one in the vehicle, common courtesy is to inform the officer, so that he/she is aware, that you have a CCW permit, or you're legally carrying a firearm and it's in the glove box, or whatever. I would rather them know up front (because I haven't broken any laws, nothing to hide), than to have them surpised by it later.
Another thing you can do is, next time you spot a LEO, ask them! Police officers I talk to, don't mind if a person carries, and has obtained the firearm through the proper legal channels, and is safe with their firearms...
Welcome to AZ by the way! (as far as I know, being an AZ citizen we've been allowed to open carry forever. the new law was to conceal...)