I've been to Tijuana & Ensenada literally hundreds of times, having
grown up in California - both vacationing there & volunteering at
Tijuana orphanages. Have never had anything bad happen - ever. I know
there are horror stories, but in most cases they've done something (ie
drugs) to cause the problems. I don't think taking a tour is going to
exactly expose you to any possible problems unless you try to smuggle
something back.