Ask Mr. Smarty Plants

I'd never thought about this before. I suppose there could be some little "critters" hiding in the holes of Cylindropuntia imbricata (Tree cholla) (assuming that is the species you have) and that those critters could come crawling or slithering out when you bring it in the house. But, people have been bringing them in their houses for use as walking sticks or decorations for a long time, so that can't be too big a problem.

If it were me, I wouldn't worry about any insects, but since you asked the question, you obviously are. So, I'm going to toss out a few ideas. I don't know how big your specimen is so some of these may not be practical.

Put it in a freezer for a week or so,

Put it in the attic - a week or so of Arizona heat should kill anything living in there,

Cover it with a big garbage bag, throw in a handful of moth balls and let it sit for a week or so - leave it outside when you do this so the bugs can leave.

Again, I don't think it will cause much of a problem if you just bring it in like it is.

As for preservation, it will last a long time without you doing anything to it, but you could always treat it with a sealant (basically an oil) or a spray on coating like polyurethane. Either of these has the potential to change the color or apperarance. I'd suggest consulting with a paint store or home center for all your options.