As long as your bags are checked in to your final destination, you should go through customs at your final destination. As sbmintime mentioned, it's the same for fights connecting onward within MEX (you pick up your baggage in the international arrivals section of your final airport and go through customs there).

For connecting flights, usually upon arrival (Mexicana should be T1) you'll go through immigration. From there, before you reach the baggage pick up section, you'll be able to turn left and head back into the terminal to catch your next flight. You'll go through a security and boarding pass check again and will be on your way to your connecting gate (or lounge).