The rate banks in the US give is horrible. How horrible? Last time I checked, it was 30% less than the going rate. That's serious. They also had a large minimum purchase requirement.
Other options? Near the border there should be numerous visible places to buy and sell pesos and dollars that will give reasonable rates. Reasonable enough to be worth the minor hassle of finding them. Buy enough to get you to an ATM-they are plentiful and have the best rate available.
Remember when you leave the country to keep enough pesos to get you to an ATM next trip down.
Besides, how many pesos do you need right away? Practically all PEMEX now take credit cards.