Kevin, if you want to run Mexico, knock yourself out. Seriously. I wouldn't run down there with armed escorts. The drug cartels are running the show down there. The law enforcement is on the take. The situation is total anarchy.
A friend of mine who I drove a NASCAR West series hauler for back in 1991 and 1992 asked me if I wanted to run a Nationwide series hauler down for the Mexico City event. I asked him how they were handling security and he had no clue.
Even though it would have paid well, I declined.
My safety and well being is very valuable to me.
Going to our neighbors to the North is another story. Been there many times, even with OD loads. Always been a breeze. Never felt uncomfortable or insecure.
As for the paperwork, everything is handled before hand. The customs stuff gets handled by a customs broker for the particular border crossing you happen to be utilizing. If the load is oversize you either contact the jurisdiction and obtain permits yourself, or use a permit service.
If you are able to put together a load coming back the process is pretty much the same. Just be prepared to spend more time getting the customs paperwork for the load brokered, and when crossing back into the US be ready for the process to take significantly more time than going North into Canuckistan. Something about Homeland Security and 9-11.