Driving from East/West Phoenix, Tucson, or San Diego--Click any of the images below for a full-size, printable map.
If you prefer to use GPS to get to the border, the coordinates are 31°52'50.2"N 112°49'01.7"W (31.880611, -112.817139)
Driving from the border to Rocky Point--Most stand-alone GPS systems will require a Mexico add-on, but it's a pretty easy drive using the info below. Not necessarily worth purchasing an additional map from the GPS maker.
If you're using a Map application on your phone, be sure to turn off "data roaming" in your settings. Once crossing into Mexico, your phone will try to pick up Mexican cell towers, and that can turn into a large bill quickly.
After you get through the border town of Sonoyta, it's about an hour to the beginning of Puerto Peñasco.