I think Sedona is sometimes referred to as "Red Rocks"? I could be wrong. I would guess Sedona is a good 3 or 4 hour (or more) drive from Vegas? So I wouldn't exactly call it a "things to see" item from Vegas...
If you have any engineering blood in you, the Hoover Dam is the thing to see while in the Vegas area. With the current security situation, though, I don't think they're doing the hard hat tour anymore.