Yes, we have shipped to Mexico many times.
We have noticed that Mexico Customs has been getting quite a bit more aggressive in in the processing of inbound shipments especially DHL shipments. They have been assessing higher taxes rates to goods being shipped in and they have been requesting paperwork from the recipients that they had not before (MSDS and Ingredient lists for products, especially health goods and beauty products, import permits, etc).
Our recommendation would be to avoid DHL and check with Mexico Customs regarding any products you may wish to have shipped in to make sure they will not ask for something crazy. You may also want to check out the site DutyCalculator.com
to get an idea of the tax rate for any particular items you may wish to ship; Mexico Customs has imposed taxes of up to 100% on some types of goods.
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if you have any other questions or advice.