Travel west on I-10 from Phoenix to the State Route 85 exit.
Head south on SR 85, through the outskirts of Buckeye and on to Gila Bend.
Continue west through Gila Bend and turn right just before McDonalds. This turn is marked with a sign stating “Mexico” and “SR 85 South”.
Continue south on SR 85 to Ajo.
Continue south on SR 85 from Ajo. Next civilization is “Why”, AZ. The stop at Why usually has about the best gas prices between Phoenix and the border. Flores and Sons Chevron in Why has recently added an ATM. (Follow Why, Az to Rocky Point Directions Below for remainder of directions)
 

From Tucson to Why, Az

Take State Route 86 west from Tucson through Sells all the way to "Why", AZ. Be careful as their is livestock usually on the road around Sells.
Why is a good place to top off the fuel tank before crossing into Mexico. Gas in Mexico is available in most locations but the quality can be inconsistent and not what you are used to stateside. (Follow Why, Az to Rocky Point Directions Below for remainder of directions)

From Yuma to Why, Az

From Yuma there are two main routes available to the Mexican border town of Sonoita where you pick up Mexico Route 8 (MR-8) to Rocky Point. There is an American route and a Mexico route. Both routes are described here. The Mexico Route is about 80 miles shorter than the American Route. Read the directions and comments to decide which is best for you.
American Route
Head east on I-8 from Yuma to the State Route 85 exit at Gila Bend.
Continue into Gila Bend and turn left just beyond McDonalds. This turn is marked with a sign stating “Mexico” and “SR 85 South”.
Continue south on SR 85 to Ajo. Ajo is a good place to stock up on anything you may have forgotten. It is the largest town between Phoenix and the border. Ajo also has an ATM machine located at Bank One on the corner of the only intersection in Ajo with a traffic signal, right across from the town square. Ajo is also a good place to purchase your MEXICO AUTOMOBILE INSURANCE.   Continue on SR 85 through Ajo towards Why, Az approximately 10 miles.  (Follow Why, Az to Rocky Point Directions Below for remainder of directions)

Mexico Route from Yuma

To take the Mexico route from Yuma proceed south on Arizona SR-95 to the town of San Luis. This is a U.S. border town across from the Mexican town of San Luis Rio Colorado. In San Luis Rio Colorado you pick up Mexico Route 2 (MR-2) and follow that to Sonoita. In Sonoita you pick up MR-8 to Rocky Point (Puerto Penasco).
The author has never been over Mexico Route 2. The route was suggested by a visitor from the San Diego area. Being adventurous souls they took the MR2 route on their trip to Rocky Point and were kind enough to share with us their experience. If you would like to read what they had to say, click here for their own words.

From So.Cal...

There are a couple routes available from Southern California. From The San Diego area, follow I-8 East to Yuma and then follow the directions in the "From Yuma" guide.
From L.A. and environs, visitors can take I-10 East to Arizona SR-95 at Quartzite, AZ, then south on Arizona SR-95 to Yuma and then follow the directions in the "From Yuma" guide. Another (longer) way would be to take I-10 East to Buckeye, AZ and turn south on Arizona SR-85. Taking this route you would follow the directions in the "From Phoenix" guide, picking it up where you turn south off of I-10 onto Arizona SR-85.

From Why, Az  to Rocky Point.....

Why is the last stop that you can get Mexican car insurance if you do not have it.  It is highly recommended that you get at least liability insurance.  Continue south on SR 85 through Organ Pipe National Monument to the border at Lukeville, AZ. Last stop prior to Mexico. The settlement at Lukeville is called “Gringo Pass” and has all facilities available if there was anything you forgot. There is a well stocked grocery store, etc. but the prices are pretty steep. Ueta liquor store before the border has duty free liquor, cigarettes and perfume at excellent prices.

Crossing the border at Lukeville, AZ/Sonoita, Sonora, Mexico. you do not need a passport or visa since these towns are located in the Mexican “Free Zone”.
Getting through Sonoita.... Once across the border you will continue south into Sonoita. The speed limit here is fairly slow so be careful. Driving in Mexico is not a problem as long as you drive defensively. About 2 miles from the border you will come to a three way intersection. Stay to the left (towards Caborca). Do not take the direction to San Luis. About 1 block south of there the road will split into a “Y”. “Pharmacia San Luis” will be on your right just before the “Y”. Stay to the right and you will be on the road to Rocky Point. You will pass “Vasquez’s” on your left if you have made the correct turn. Continue along the same road all the way to Rocky Point. “Vasquez’s” and the “Pharmacia San Luis” are good places to stop and visit. The pharmacy carries many items over the counter that require prescriptions in the US. “Vasquez’s” has a great selection of all kinds of Mexican curios, pottery, liquors and everything else. You will not be able to haggle prices at these places but may find just what you are looking for.
Sonoita to Puerto Peñasco. The highway from Sonoita to Puerto Peñasco is approximately 50 miles of open range. Being open range you are subject to encountering livestock on the highway on occasion. You will know you are close to Rocky point when you start seeing sand dunes.