A friend of mine was afraid of the taxes too, he went to Socorro this year, he flew through Mexico City without any problem and then took an internal flight to Cabo San Lucas. He had not issues, there were two guys inspecting the baggages, but I think that is way different from customs inspections.
Talking with another friend that run tours on Baja and Magdalena Bay, the main problem is to arrive on international flights at Cabo San Lucas International airport.
I'm planning to go to Magbay this year, and quite interested on the taxes subject.