Gary Sherrill, 51, is being held in lieu of $1 million bond.
He was arrested Tuesday after police found the body of his son, David, 13, in his home, the Arizona Republic reported. The man's ex-wife had requested a welfare check, saying Sherrill had taken the boy for a visit Monday, had not returned him and would not open the door.
Sherrill allegedly first told police people were out to get him and then described his son as a demon and said the boy was trying to eat him, the newspaper said.
In a separate incident, two young girls and their father were found dead Wednesday in the Phoenix suburb of Tolleson. Investigators say it appears Alejandro Gallardo, 45, shot the girls, ages 6 and 8, and then turned the gun on himself.
Gallardo had recently argued with the girls' mother and their relationship had become rocky, neighbors said.
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