I agree with the headaches of smuggling across the border, that sucks. But personal supplies (small amounts) are usually not that nerve racking.
As far as the cops. There is really only one place to go in TJ now, and as long as your follow a very specific protocol, you'll never get hassled. If you do happen to, which has never happened to me, the owner of that shop will get your money or gear or both back. Again, its never happened, but he gives that personal guarentee.