Hey I got 2 different versions:-
1) In one of the forum, someone has traveled the same route, for them at Mexico City, the airline has asked some fees, for transit visa and kept their passport, at GRU, They were escorted to the gate, at that time, their passport was given back to them.
2) When I called the airlines, I was told to contact the embassay, and for the above said process, they say, they dont know.

Airline reply is not very helpful as It is two different E-Ticket, one is from AeroMexico, for GRU->MEX->GDL and other is from GRU-->DOH-->DEL, though the booking is done through Qatar.
I am told, that for airside, Aero Mexico agents will help, in passing my luggage through customs, and that is all is required, but since nobody is telling a confirmation, trying to get help from the eminent forum members.