Hello man. I'm an attorney from Mexico currently studying laws in the U.S. My opinion is that your plan sounds unconvenient, but is the safest to stay out of trouble in the U.S. If you have access to border towns of Mexico, that's the way u wanna go.
Just be careful with fake roids. Do some research first, and try to find a reliable source before making your purchase. Mere posession of roids and medicines in Mexico is not illegal, however, distribution without a prescription is a mild offense, and distributors are likely to be fined. Nevertheless, if going to mexico, get your ass covered and obtain a prescription from a Doctor. Most pharmacies in the border, specially those that sell generic brands of medicines usually have an attached doctor's office, you may obtain a roid prescription for 8-12 U.S Dollars. Once inside of the doctor's office just be honest and tell'em what you want. Tip the doctor with extra "greens" You might be buying valuable confidence from him, he might be willing to tell you where to shop for your gear. If he doesn't open up right away don't be affraid to ask, of course after the donation. Always follow the next rules.
Rule for the american shopper:
1. If your are going to buy roids at the border, stay away from recreational drugs such as pot, coke and meth.
2. If you are driving and planning to sneak the "arnolds" into the U.S., either park your "gringo plate car" (no offense I'm just trying to remark a good example) in a mall or grosery store, and walk towards the pharmacy of your choice (or whoever your supplier might be) or take a taxi and tell the driver what you're looking for (Taxi drivers know a lot). Avoid your car to be seen at the pharmacy zone or by your supplier. Don't ask y, you'll be glad.
3. When doing your purchase, try to use a disguise. Use hat and sunglasses. Be creative (modify your physical appearance somewhat. Just try to hide your identity. Don't ask y either.
4. If for some reason you get stopped or busted by mexican cops, settle down, they don't want muscleheads nor the roids, they want a slice of the cake ($$$$) Usually 50-70 U.S. Dollars will likely talk your way out of trouble. (If there are more than one, calculate the business about 30-40 bucks per cop). In mexico, with money barks the dog!!!!
5. Before doing anything stupid, do some research and find out what methods work best to sneak the gear into the U.S. You'll be amazed that it can be done!!!.
6. I think i already said this but it's just that really "In Mexico, with money barks the dog"
Good luck!!!