We have been going to Rocky Point since 1999, you will be able to use either US dollars or Pesos, some take credit cards, most of the Pemex stations will take credit cards. Also you can use your debit card at the banks for exchange to Pesos.
We use pesos a lot because everybody has different exchange rates and it seems easier not to get confused when they try and make change.
Most of the street venders will give you their price in dollars, so go and have fun.
Don't know about insurance in Gila Bend but you can purchase it in Ajo 43 miles south of there which is 38 miles north of the border.