There are very noticeable signs on the California side of the border when driving into Tijuana, Tecate or Mexicali that state it is against the law to take firearms or ammunition into Mexico.
One kid I know who lives on a ranch in Nevada went to Tecate to race last year. Crossing the border, they searched his truck, which is fairly common, especially when you've got a box van. The guards like to see what's inside, just to make sure there are no guns or drugs being smuggled into the country. (Of course, the appreciate being offered T-shirts, hats or stickers and often grant a more cursory look for such swag.)
Turns out the guards found a couple rounds of live ammo in one corner of the truck so he got hauled off to jail in TJ. Spent the night there, so he missed the race the next day. Seems he completely forgot about the ammo being in the vehicle. Don't know how much it cost in Mexican lawyer fees to get him out; never did ask him. He was 17 at the time. Viva Mexico, eh? Not! [}:(]
Of course, their laws don't seem to keep the drug cartels from arming themselves heavily. And there sure seem to be lots of guerilla types running around with ski masks and AKs in mainland Mexico creating havoc with the government troops and local cops.