Same as Bignick said. The sheer number of people going thru customs, especially in December, makes for an easy pass thru back into the states. Imagine being a customs agent, asking several thousand people a day their citizenship, repeating the same questions, blah blah blah 5 days/week, 50 weeks/year for years.
I've brought back small amounts (3-6 bottles) of antibiotics, clen, retin-A. Clen isn't illegal in the states. I've sold some on ebay. Never brought steroids back though. I do have friends that get their girlfriends to carry it back over the border. Girls can always cry and say their boyfriends forced them to do it........
The only time I've seen anyone stopped at customs in Mexico was in Nogales at the Arizona border. These guys were huge and cocky (probably from the University football team) and with further questioning became increasingly loud, rude, and obnoxious. I didn't hang around to see what happened.