Purchasing a new car from different state. Advice?

[Kalispel]

Well, considering how hard it is to get a white 2015 Yaris SE in Arizona, even in automatic (none currently in AZ), I have decided to bite the bullet and try to buy a white manual SE from out of state and have it shipped to my door for about $500-600. Currently, there is one in CA and one in CO. Also, a black or silver one isn't completely out of the question if it means getting a manual shifter - there is a black one in CO that has been sitting on the lot for over 300 days, sadly enough.

Does anyone have any experience on buying out of state? From what I read online, I most likely shouldn't be charged sales tax or tag fees at purchase, since both of those items will be due when I get delivery of the car and go to register it in Arizona at the DMV. Is that correct? Is it that much tougher dealing with a long-distance dealership and navigating the paperwork? Any things that I should watch out for in terms of fraud/deception on the part of the dealership? Also, I plan to get pre-approved through Toyota Financial Services or my bank in the next week or two, before initiating contact with dealer.

If anyone has any experience in this area, please share your wisdom.