Dress for the weather, you'll be fine. People have been doing it for tens of thousands of years.
You can't dress for 120°F. You can only avoid it.
People in the Sahara (and other deserts) dressed for the weather. It's not comfortable by modern standards, but people were able to bear it with the right clothing to keep the outside heat out.
Humidity is a killer in high temperature, you do not have to deal with that in the desert.
Well, Phoenix is an arid desert.
Which makes me wonder, how would 120 feel in Florida?
Like Mercury on a foggy day.
Not as hot as an actual sauna, I'm sure it'd be fine. ;)
As true as that is, even those that live in a desert would limit their activity on especially hot days. At some point even camels are going to refuse to cooperate.