So here is a tone of things to do while in Pheonix
Go to Sedona- its about 2 hrs north and it has great shops, you can go a little more north and check out slide rock. About another hour is Flagstaff and there is great sledding areas for the kids depending on snowfall.
In William, AZ (about 2 1/2 hr north) you can do teh Grand Canyon Railroad. In the winter they do the Polar Express (we take our daughter every year) It is amazing anf theey have a hotel package or you can drive up and back. @ trains per night, one at 6 and one at 8, its about a 2 hr train ride with Santa and very unforgettable.
In Pheonix there are great museums downtown, the Science museum would probably be great for your kids
Pheonix Zoo is wonderful aslo Wildlife Worls Zoo
Down in Tempe they have and indoor tree house called Matukus Island, very fun
Jump Street in Glendale, indoor trampolline park, very fun
If you think your girls would like it, just north of Pheonix in up Scottsdale Rd is an English Tea house, called English Rose. They do afternnon tea and the girls can wear dresses and hats. They have a kids tea with lemonade, it is way cute and a nice outing.
I know they just opened an Aqarium but I cannto remeber where it is.
ASU Gammage Theatre I believe is having the Grinch That stole Christmas at that time, great theatre and very inexpensive.
There are many orchards and farms that you can visit and pick fruits or veggies which is always a nice outing,
If I think I anything else I will let you know, or if you have specific ?s about anythign I posted let me know.