As a general rule its a not a felony charge unless there are significant other issues. As a general comment dont say or acknowledge ANYTHING. If your not dressed go ahead and get dressed, its not legal for them to prevent you from doing so. If they havent read you your rights your not under arrest. If your not under arrest you cant be detained. You have no obligation to explain your presense or the "circumstances".....

First keep in mind that if you restrict yourself to reviewed ladies, your risk is almost zero.  The ladies in this business take a much bigger chance than the guys, because they have no TER for hobbyists.  Technically, LE could create a fake provider or agency, then create fake hobbyists to review the fake girls, but that's a long-term project, and it's a lot easier to get the publicity they seek with high-profile busts of street walkers and advertisers from New Times or Craigs List.  

Keep in mind that LE never expect to shut the business down...they're happy to simply put a chill in the air.  Also keep in mind that the last few high-publicity stunts by local LE have resulted in dropped charges.

If you're dying to worry yourself needlessly, go to http://www.azleg.gov/ArizonaRevisedStatutes.asp?Title=13 and scroll down to Chapter 32.  ARS 13-3214 tells us it's a misdemeanor.

Having said all that, BE CAREFUL, BE SMART, BUT DON'T BE AFRAID.