Never once heard of a prosecution for steroid possession in Mexico. Asenlix, Valium? Not the same category. In that case, most defendants are caught forging/stealing prescriptions.
Admittedly, steroids and most meds require scripts. "Su venta require receta medica" is the exact wording. But the phrase is intended to protect manufacturers -- kind of like a warning on a pack of cigs. No enforcement whatsoever. Otherwise, big chain farmacias (ABC, Benavides, Walmart, etc.) would not even think of selling the stuff without the "required" paperwork.
Get pulled over? Federalies harass you? There are a lot of Mexican constitutional provisions which prohibit illegal searches. (Don't worry. Steroids are not controlled substances, as stated above.) Imagine a "probable cause" scenario in the States. PM me for more details.