Go during the week if you can because you will have to wait in line forever to get back across the border on the weekends. If you go on a weekday the lines can still be long, but not as long as on the weekend. Don't worry about being caught. Just stay cool, calm, and hide the gear really well if you drive. If you walk then make sure you put the gear by you nut sack. My buddy went down a few weeks ago and got stooped walking back accross the border. He had to empty his pockets and the pull his shorts up as far as he could, so the border patrol could see if he had anything near his nut sack. Thank fully he only brought back 3 bottles of gear and he didn't get caught, but he was scared. BTW he is huge and was coming across the border by himself with nothing, so it drew attention to him.
Buy something or at least go across with another person, preferably a girl.