Personally, I think the I-20 to I-10 route would save you miles, but if you want to go north to OK City, I can tell you of a couple of things to check out, I've been on the I-40 route countless times between Las Vegas and Springfield, Mo. You do know that in Feb and March, you will need to check the weather very closely due to the possibility of snow and ice at that time of year on the I-40 route.
Oklahoma City has the National Cowboy Museum, and of course, The Cattlemen's Steakhouse. As you travel through Amarillo, the Big Texan steakhouse deserves a stop even if you don't want to eat there, it's such an icon. People also rave about Palo Duro Canyon near Amarillo, but I've never been there and don't exactly know how far off I-40 it is located.
I have to admit, I'm not much of a fan of Albuquerque, Sante Fe, 60 miles to the north, is much more fun. If you have time, a day spent there is rewarding, whether you are interested in art, history or scenery. And although you won't be able to attend the Santa Fe Opera, a world class facility, they offer behind the scenes tours that are really interesting. To the west, Gallup is the Mecca for Native American jewelry.
Holbrook, AZ., is a former Atchison, Topeka and Santa Fe train stop and has a beautiful hotel from that era, the La Posada. Also in the same area is the Petrified Forest National Park and just west of Winslow is the Meteor Crater impact site. Speaking of Winslow, many people like to "stand on the corner" and pose with the statue that is there. Flagstaff is high in the mountains, elevation 7100', and one time while driving through, about a dozen elk jumped a fence and ran across I-40 just in front of us, fortunately, none of them got hit!
Going south from Flagstaff into Phoenix, you will pass close to Sedona, incredibly beautiful especially at sunset, and also Montezuma's Castle National Monument. You will also be entertained on the road by all the Suguaro cactus as you get close to Phoenix.
Hope this helps!
