This was an interesting article in the Mexican newspapers ---they were looking for Iraqis traveling with a Mexican in the northern part of Mexico that were probably headed to the US border. I never saw anything more about it, I don't know if they found them or if they made it over the border.
Rastrean a iraquíes en norte mexicano
http://www.diario.com.mx/servicios/hemeroteca/nota.asp?notaid=33353
Sorry it's in Spanish but it's pretty easy to read if you know just a little Spanish.
Remember the phoney border-patrol SUV? They found an SUV painted up to look like border-patrol, presumably used for the drug trade. This would be a wonderful scenario for the terrorists, also.