Without being completely obvious, the first step to becoming a successful SEO in Phoenix is to set up a website.
Once you have a site created, it's important to do keyword research to figure out what terms people are using to search for what you're offering. In this case, since we're talking about Phoenix SEO, you'd want to look at other related terms people search for. Ranking for the term, Phoenix SEO is pretty difficult, so perhaps look for related terms, such as Phoenix Link Building or Phoenix Search Engine Marketing Services. If you really want to find out what people are searching for, you can purchase Google Adwords and figure out which terms people search the most and more importantly which terms convert.
Once you have the site created and have done your keyword research it's time to see what other sites in your vertical can be a good source of links. It's probably not a bad idea to search in the Chamber of Commerce in both Phoenix and Scottsdale to see if you can become a member and get a link. Outside of the obious link benefits, becoming a member could be a source of business, which is going to be crucial as you're just starting out. Then look for other local directories or other bloggers who discuss the city of Phoenix (or any of the outlying areas) who might be willing to give you a link.
Continue to build links and network at local events like AZIMA or SEMPOAZ and you should be off and running, or at least making baby steps towards becoming a high quality Phoenix SEO provider.