Hi there,
Congratulations for being selected for the DV-2005 lottery. It seems like you have already chosen AOS over CP (Consular Processing). I believe you do not need to send the forms back to the National Visa Center in Kentucky. The fiscal year 2005 starts October 1, 2004 and ends September 30, 2005. Therefore, waiting a month until you move to or near Phoenix is no problem.
Contact the UCIS office as you as you have moved to or near Phoenix, and ask them whether you may submit your paperwork immediately or wait until October 1.
Several people have gotten their green card through DV-AOS. There have also been some horror stories where legacy INS didn't adjudicate the case before the September 30 deadline. Make sure you do some research on Google so that your decision to go for AOS is well informed.
Disclaimer: I am not a lawyer, just a GC holder who learned a lot while pursuing GC. So, take the info I provide accordingly.