I've been to Monterrrey a few times, but it's been a few years. I usually just carried a Stockman, leatherman, and a SAK, without any problems.
Only used them at the job site or in my hotel room. I wouldn't carry anything big or expensive, just in case. Pack it in your suitcase (I pack mine in my toiletries kit or in a Klien canvas bag with other small tools that I use) and you should be fine.
I will say, the only time I was searched by customs, they only opened up my suitcase and my toolbox and rumaged around half-heartedly, but again, it's been a few years. You will have to press a button in the customs line, and if the light turns green you pass through un-inspected, but if it's red, you get inspected.
Make sure that you get some Cabrito, and eat at LaLouisiana if you get the chance, good eats! Also, they have a Wal-mart, Sears, and even a Chili's restruant there. If you have a guide with you and make it downtown, take a stroll and see the sights. Pretty interesting, it's an old city with lots of history. Crazy cabbies (and other drivers

), just don't panic in the cabs, makes them nervous.