You're wrong about Mexico. In Mexico posession/use of roids is not illegal regardless you have a prescription or not. Is illegal to distribute the gear to anyone who doesn't have a prescription. Distribution of medicinal drugs is a misdemeanor and distributors are likely to be fined. Nevertheless, most poeple either mexicans or foreigners are not aware of that or are uninformed, and if one get caught on posession (usually due to a traffic violation or because someone else turned you in) it is likely that the cops are going to speech a fucking lethany to see if they can get some money in exchange. Cops in mexico don't give a shit about your health or personal safety, they just want your business. However, posession of recrational drugs, such as pot, meth, coke, is a serious offense punished by jail time.
I'm an attorney from Mexico currently attending to law school in the U.S. So no matter what the web sites tell you about this topic, I know what I'm talking about. I've saved some asses back in Mexico.