So if you are talking about the visa you get at the Mexican consulate in Tucson or Phoenix that they attach to your passport then yes you cross the border ,park in the spaces in the middle of the road then walk back (100ft maybe) to the Mexican migration office right on the border.They then help you fill out the visa and how you do it depends on your purpose (it the 180 day one or the 30 day used to get the 4 year temporal at the Puerto Penasco immigration office