i've heard alot of things too. During the last few years, my understanding was that it was cool as long as you stay out of the border towns. Recently though, a Mexican who picked me up said that it is not longer safe anywhere. He said the drug war is everywhere and now it's not even safe to go out at night in the rural towns. He said since the last half year, he won't even go down to see fam anymore because it is so dangerous.
Another thing i often hear is that there are heat sensors scanning trains nearly everywhere they cross the border. i think even Yuma has some. Also, if you have ever ridden the Low Line in the West, ya know about Border inspectors. They usually just throw you off no big deal, but the problem is that they check out lots of trains car by car, and it sucks to lose yr ride.