I do think some smugglers dress up in military type clothes, bit I also Know the Mexican Military has and continues to cross into the US.
I was at a remote port of entry one day when a Mexican tank pulled up on the Mexican side and aimed the turret at the US Port buildings. The US inspectors got on the phone for instructions but no one could really tell them what to do- they were actually told not to worry about it. The Mexican tank driver got out and had a good laugh about it, went into the Mexican port and shortly came out and left.
I thought the whole episode was a little wierd considering that there are incursions and ambushes along the border. I felt he was just thumbing his nose at US Officials. I was pretty ticked but all the US Officials acted as though nothing had happened.