The dead of winter in Arizona means a few nights a year with some very light freezing, (below 32 degrees). San Tan Valley has some low spots that typically experience some freezing most years and it is recommended to cover the more fragile plants and the water inlet into the house.
I live in Queen Creek and would also let my pool run all night long on the really cold nights just to make sure nothing froze and had no issues. Cover a few plants with sheets so they don't get frost damage etc.
Swimming in the winter: A heated pool is recommend unless you are a polar bear. Some of the homes have spa's and heated pools that allow you to keep your pool warm all of the time, this can be a great way to go. If you want to be more conservative we could go to a development that has a heated (year around) pool and you could use that. We also have YMCA's etc that might work.
We have a spa that we use year around and love it!!
Choices are good, which one works best for you is what we determine next.