Also, you can get Mexican visitor visa at a consulate, the official price is $36, good for any place in Mexico.
I know some individuals go there without Mexican visa, it doesn't matter UNLESS you have to spend the night in Mexico after visa failure, or have to fly to Mexico City in order to get deported back to China, In that case, without a permit or visa will get you into trouble. But I don't know any one having trouble without Mexican permit or visa if he/she returns to US on the same day.