I lived in Nogales MX for awhile myself, and Tucson
Going in isn't a problem, coming back can be. Drug Dogs at Customs, dea/usbp/customs. Its hit or miss during the day when its busy they are more likely to wave cars through much quicker.
Don't travel alone at night in MX..in fact don't travel at all in the rural areas. When you are American, trust me that people know you are there. You don't want to run into gangs or LE. Avoid both. It's not as civil there as it is here.
No need to bring anything in, pharmacies sell everything you would need to perform your HRT and then some. Many will administer for you. Counterfeiting is higher in a place like Nogales, but go interior a bit more and you will find things at prices you won't believe that are real. If you walk around the streets during the day people will approach you and try to sell you things..legal and not legal. Happens all day. The sellers are smart enough to pinpoint customers. If you look like a bodybuilder they will approach you with bottles in their hands and openly try to sell them to you.