Just so you know...not trying to persuade you to do one thing or another.
"Customs is the last step, here you will need to have your Customs Declaration Form handy (the other form you were given on the plane/ship). Mexico has adopted a "Red Light - Green Light" system for customs. If you have put "Nothing to declare" on this form, you will be asked to push a button....... If the light is green you can exit without inspection; if the light is red you will be subject to inspection. This is a random system, and therefore there is no way to know whether you will get a green or red light. Consequently you need to be honest on your Customs Declaration and declare anything over and above what is allowed, paying all applicable duties. If you do not, and are caught by a red light, the fines may be very steep. One note, Mexican customs officials may assume you know about the "Red Light - Green Light" system and not say a word. No problem, step up & push the button.
Entering By Land
All of the above applies to those who enter by land. Other than picking up your Tourist Visa/Card and having the proper identification, the only difference is the "green light - red light" system. If you are driving, the lights will be in the lane you cross in. Look for yours and if it's green, then drive away. If it's red (and there should be a bell or buzzer sounding) then you need to pull over to the Customs (you'll be pointed in the direction by an officer) area for an inspection.
Same process for those of you walking in to Mexico. More than likely you will be directed to push the button on a solitary "stoplight" with the same system as other entries. Some busy border crossings like Tijuana and Ciudad Juarez may not have you push the button unless you have packages. It's the Customs officials decision. These borders are so busy with tourists and locals crossing back and forth that it would be almost impossible to have everyone do this so they will randomly select people to push the button."
http://www.mexonline.com/mexcustoms.htm
Have you already gone through a formal process to apply for a temporary resident visa or begun a process to permanently immigrate to Mexico? I'm not sure what that would involve. I know that we always had to have a tourist visa card, but I'm not sure how long that's actually good for.