Go to Chandler Air Service in Arizona
I did 3 weeks of hour building there when I had 70 hours or so total time back in 2007. Most of their aircraft have GPS and are very reasonably priced.
They do a very in depth "mountain check out" when you arrive (as well as a general rental checkout and Flight Review - which you will need), where you will fly a dual cross-country to Payson or a similar high altitude airport (4-5,000+ AMSL) and fly a reduced power takeoff (instructor controls throttle) to simulate the effect of departing from a high density altitude field. Most of the ground portion of this training will encompass the Flight Review ground (geared up to get your head in the game as a European, and is more of a tutorial and refresher of aircraft performance charts/theory as opposed to a knowledge test).
I'd say it took me about a week of venturing gradually further afield until I was more than comfortable with flying there, and I flew to Blythe in CA, Sedona, the Grand Canyon and a few places 100 or so miles to the West and Southwest of Phoenix. I was also perfectly happy transiting the Phoenix Class B after doing it once with an Instructor, as it opens up a nice route when going North of Phoenix that enables you to fly through Sky Harbor's overhead while airliners depart/arrive 2,000' below and get on with their business. Once you're into the swing of things, it's an absolute piss-ball operating there. I visited 2 places out in the sticks that didn't have a cafe on site, and was casually told to take one of the cars parked outside the FBO: "The keys are under the sun-shade" to drive to town.
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