Why would someone bring a bomb across the Mexican border?
Because they have an axe to grind with us, and the act is easy? 4000-6000 illegals cross EVERYDAY, and these are generally Mexican civilians. I'm quite sure any ex-military, or anyone with a mediocre measure of woodsmanship abilities, could handle the crossing with ease.
It would be much easier to just hide it in a container and ship it from a "friendly" port.
Easier, yes, preferrable no. The terrorists would relinquish control over the device in that case (not always desirable depending on the target). Also, detonation inside a container/ship could hamper the effects if the device isn't nuclear.
Or maybe hide it on a ship and then just let the bomb go off in the harbor.
Groups like al Qaeda tend to be concerned with targets bearing political, economic, and social importance (see WTC, Pentagon, White House, etc). If they're "going to go big," harbors would most likley be near the bottom of the list of potential targets.
Or, you can just smuggle the uranium into the country and simply build the bomb in a small workshop somewhere, I don't think it would be very difficult to find the neccesary parts (even the explosives should be fairly easy to find).
That is indeed a scenario many in goverment are concerned with...care to guess where they might be smuggled in from? HMX is really hard to detect, and as I recall we are missing quite a large supply of it from Iraq.
Uranium should be easy to smuggle, just make to put enough lead to block the radiation (you don't need much lead for that, U235 is not very radioactive and is safe to handle even without protection) which might otherwise be detected.
There are ingredients for bombs out there that are easier to procure, and easier to conceal, than uranium.