I did it with my family in 2004.
Since we were not US PR they told us we needed to get a visa which we got at the Mexican consulate in San Diego. It takes about 4 hours and the crowd at the consulate looks dangerous. I think it was like $20 each. What a waste, nobody asked for them but we wouldn't have gone without them anyway.
We parked in downtown San Diego and took the trolley to the border. Crossed the border walking. There is a customs agent at the end of the walkway on the mexican side but they don't care. We got some mexican pesos at a Costco in Chula Vista. We exchanged about $40. We didn;t want to get ripped off on the exchange rate offered by cab drivers and restaurants.
There are taxis waiting on the other side. Ask the first one how much to take you to the American consulate. DON'T take that one. Go to the second one and ask the same question. I'll guarantee the price will be lower.
Our appointment was at 10 and we got there pretty early, at about 8 AM. The bank doesn't open until 9 and it does not open on Sunday. We had breakfast at a hotel/hostel about a block from the consulate; it was good. The bank is half a block the other way. We noticed the lines started forming in the bank at about 8:30. We got there and got fourth or fifth.
The bank opened at about 9:05 (guess it's a mexican thing) and the tellers are pretty rude and do not speak a word of english. I didn't have problems because I speak Spanish (or mexican if I want to!) but noticed that others were having trouble communicating.
Anyway, we got the bank deposit receipt and headed to the consulate at about 9:25. We waited for about 5 minutes and the guard started calling the 10 AM appointments by name. No cellular phones, briefcases, purses, calculators, etc are allowed. They only allowed a folder with the papers and a pen.
You are then taken to a waiting area and after about 45 minutes they make you get in line and the process starts. They check the papers first at one window, then there is an interview and finally a picture.
The guy that interviewed us was very, very nice. No tough or tricky questions.. I guess the way we decided to dress helped a bit. (Business casual). I wouldn't recommend going in shorts and sneakers!! Yeah, Yeah, I know that they are not supposed to look at that but believe me, they do. The guy in front of us got his visa rejected and I was thinking we were going to find the guy in a bad mood; I was wrong; as I said he was very nice.
After the picture they tell you to come back at 4 PM (I think). Anyway, we had plenty of time to go and have a nice lunch. BTW, the cab driver was so nice that we asked him to pick us up after the interviewed. He asked at what time our interview was and he knew at exactly what time to be waiting for us. He was out there when we left the consulate at about noon.
He took us to "La casa del Mole" (Mole's house, but I am not sure if it was really the Mole's palace instead). Nice restaurant, good service. It was slow but who cares, we had until 4PM. We asked the cab driver to come back and pick us up at about 3:15 which he did.
We decided to spent all this time at the restaurant and not venture into the turistic spots. We didn't like what we saw; ugly town.
Back in the consulate they let you in again and after 20-25 minutes they start calling by name and they give you the passports with the new visas on them. Our faithful cab driver was there waiting for us and took us back to the border crossing.
How much the cab driver asked us for??? I don't really remember. I just remember we arranged it in advance and of course he got a very good tip for being so nice. I remember thinking that it was relly cheap and we tipped him like 25%. By this time the few pesos we had were gone already so we ended up paying him a portion in US$.
Before heading to the border crossing you have to get into an office where there is a line of about 15 people. It took about 30 minutes to get our new I-94's (which by the way we decided not to surrender upon exiting the US...) Nobody really asked for them. Give the old I-94's to the same border agent creating the new one. Make sure they use the new visa to let you into the US.
These border agents were the worst I ever had to deal with. I think they send the bad ones to that office as a punishment and they take revenge on the legal aliens coming back in. Anyway, don't pay attention to the derogatory comments of those a**holes, get your I-94, passports and get out of there.... bad karma in there.
Get in line and be ready to wait. It took us like an hour to clear the border. Be careful with your passports and I-94. Don't take them out until you are in front of the agent. They want to see your passport and the new I-94. Show them the driver's license as well, I think it helps.
We waited for the trolley at a McDonalds in San Ysidro, which by the way it is an ugly and smelly place as well. Jumped into the next trolley, back to San Diego, got into our car and headed back home.
We so didn't like Tijuana that we changed our plans to visit mexico and are going to Costa Rica and Dominican Republic sometime in the future, once we are not on AP anymore!!
End of the oddissey. I hope this helped.