I can understand the OP's post.  We have also not stopped at a Wal-Mart or other dry camping location.  We have talked about it but never have done it.  There is fear of the unknown involved the first time you do this.  Am I going to be safe, will I be hassled for parking there?   I am sure we will do it some time in the future.  We typically do not drive more than a couple of hundred miles in a day and if we were using a Wal-Mart, we would be there pretty darned early.  We also would look for a campground if it was so hot that we needed air conditioning.