Hope you are doing well.
The best way is to call developers/contractors, you must to know what size of a lot you will be getting and think it thru how you would want your future home to look like - in and out.
You dont have to necessary contact the locals look for the best and the cheapest service, in a case when you are trying to build a house the companies are willing to travel.
I suggest that you "Google" for home construction contractors in the Sedona area as there are many of them. They should be able to give you a rough idea on costs of construction.
Here are a few to check out:
Good luck to you!
Prudential Connecticut Realty
some of the local banks as to average construction costs. If you would
like an estimate, I could provide you one as to all in costs if you can
give me the size of the home that you would like to build.