"someone" needs to get their facts straight. fwiw, I've lived in Arizona almost 40 years so I've seen a lot of changes.
Yes there is border crime but mostly it's drug/human smuggling and they don't want anything to do with you. In fact they'll go out of their way to not be seen by you. I'm not going to sugarcoat it, illegal immigration here is a problem. There's also a highly visible border patrol presence - you'll possibly see them (more than once) on the drive down.
There's also a drug trafficking problem but so far that's been mostly limited to rival gangs kidnapping or assassinating each other.
Just stay on the main road and you'll be fine. You're also driving west of Phoenix on a minor Arizona highway so less likely to run into smugglers - they like to blend in with the major traffic on the Interstate. And you'll be crossing the border in Lukeville - if you blink you'll miss it.
Shops here and in Tucson regularly caravan to San Carlos (near Guaymas) which is a lot further into Mexico than you'll be going. I've done it as recently as 3 years ago and I can assure you no one is paid off at the border crossing. It's likely you'll only get stopped briefly crossing over.
My LDS has a trip on the Rocio del Mar the last week of May. So they must not think it's an issue.
Another issue will be that you'll need to find a car rental agency that will allow you to take the car into Mexico - not all of them do. And buy Mexican travel insurance as your U.S. coverage likely stops at the border.
If you don't want to drive, these folks will pick you up at the Phoenix airport and drive you down to Puerto Penasco.
Head Out To Rocky Point - Your full Service Charter & Shuttle Service to Rocky Point (Puerto Penasco), Mexico Might be worth it instead of leaving the car there all week. IIRC Rocio has some arrangement with a secured, paid parking lot if you do drive.
For other questions contact:
ScubaBoard - View Profile: Dora the Explorer
It's her boat...and IIRC she lives here. (Phoenix) So probably does the border crossing often.
In case you've not seen it, there's a Rocio website:
http://www.rociodelmarliveaboard.com/