It was great-grandfather Miles Park Romney, not grandfather Gaskell Romney, who went to Mexico in 1885. And he didn't go one step ahead of the law, polygamy was already illegal in the U.S. Utah became a territory, and Abraham Lincoln signed a law against polygamy in 1862, the Morrill Anti-bigamy Act. The Edmunds Act was enacted in 1884, before Miles Park Romney went to Mexico.
The only thing he was a jump ahead of was the Edmunds-Tucker Act, which threatened to strip political power and take property and possessions away from the LDS church if it didn't stop polygamy.
But Miles Park Romney didn't jump to Mexico so he could legally have multiple wives. Polygamy was illegal in Mexico. All of the polygamous LDS colonies were breaking Mexican law.
Thanks for the details!