It´s always good to check when you land, but unless things have changed in the last month or so, here is the procedure. You will get off the plane, and follow the line to Mexican Immigration. The line splits in two.........one for nationals, and one for foreigners. You have to fill out the form, and go through the line, and talk to the immigration official. You then exit the area and that is it.
Your bags will go go CUN. When you get to CUN, you will pick them up. Since some of the people on your AM flight will be using it as a domestic flight, and some as the conclusion of an inernational flight, you will notice in the luggage area, that some of the bags (yours included) will have a tag on them. This means that when you get to the exit door, you will be screened by Aduana (customs), and be asked to push a button for a green light or red light.
It is actually a great procedure, since the ´double claiming´ of bags on international flights is a huge waste of time and manpower.
If you want to try the ´move up´ strategy, then I think AF may be able to check your bags only to MEX. Then you will have to pick them up, clear customs in MEX, and re-check them with AM. I believe that AF and MEX are partners, so that shouldn´t be a problem, albeit time consuming. Have a great time in Cancun.