I was wondering the same thing & talked to some family (& FI) who strongly suggested we do it before. My lawyer brother said that if, God forbid, something happens to either of you after the ceremony day, but before you're legally married, you won't have any legal rights (hospital visitation, private information release), etc. Plus if you go ahead & do the legal part first, once you have the meaningful ceremony in Mexico you'll really be married. Sorry to be sort of morbid, but it's just something to think about.
I'm with you though, Lauren, the day in Mexico will be our 'real' wedding & the date we use as our anniversary.