I live right on the Arizona/Mexico border so I go there a lot. I've taken my MXT over a few times, but I did make sure to check with the Mexican customs office (Officina de Aduana) at the border before attempting to take it into Sonora. They told me that most electronic items require proof of ownership, which is just a paper obtainable from their office at no cost (I think), in case the Federales ask where you got it. Otherwise you may be charged an import tax, which is usually not very much and based on retail value of the item. This rarely happens near the border but is fairly common deep in Mexico. This also helps to prove prior ownership in case US Customs get nutty and want you to declare it as an import. I've never taken mine more than fifty miles into Mexico, so I have never had any problem, even without the paper.
Also the laws may differ depending on where you want to detect, so it may behoove you to ask at your hotel. You can probably get the proof of ownership paper at any Mexocan consulate or maybe even from a travel agent. Mexico isn't quite as bad is the Pancho Villa days, and there are fewer "El Guapos" roaming the countryside. The Federales get paid a reasonable salary so they won't hassle you unnecessarily, but a few rogue Rurales (local police) are still sometimes looking for La Mordida. Even that is becoming rarer.
Almost no one detects in Mexico so it may be a great opportunity. Just be sure to have your ducks in a row so you don't wind up losing your detector, and if you should luck out and find any Aztec, Mayan or other antiquity don't even think of keeping it or trying to get it out of the country. That would be just about the surest way to see serious jail time. They get real testy about such things.
Marc