Go into the Arizona state interview and proceed until you come to a screen with the heading "Any other subtractions adjustments?" Click "yes".
Click on Add, but don't add the capital gains on the first screen (with the only the Description and Amount fields). Instead, continue to the next screen (answering "no" to do you have any other subtraction adjustments) and if you persist, you should come to a screen headed "Net Long-term capital gains".
Make your entries on this form.