Having never been anywhere near Mexico, I don't know the exact dynamics, but I've read that you can't move between many of the border crossings without passing through a Mexican interior checkpoint, where it's illegal to travel without a temporary import permit for your vehicle. It's also illegal to leave Mexico with a temporary import permit, and they can't be surrendered at the border either, but at special offices that aren't near all crossings. It's a bureaucratic mess.
It's over a year late, but now that this thread has been bumped, I'd like to address a few of these points.
* It is not actually illegal to leave Mexico with a valid Mexican temporary vehicle importation. You are free to cross the border (both external and internal) multiple times during the validity period. What actually causes trouble is not to cancel the importation in Mexico before it expires. If you fail to do this, the assumption is that you have sold the car illegally in Mexico and it then becomes liable for confiscation as contraband (and you presumably also become liable to fines) the next time you enter Mexico with it and attempt to clear customs with it.
* To the best of my knowledge, we (the members of AARoads that have travelled in Mexico by private passenger car and have experience with the temporary vehicle importation process) have not actually confirmed that it is impossible to travel parallel to the land border for its entire length without being stopped and turned back at an internal frontier checkpoint. We only suspect that this is the case, based on known locations of such checkpoints. Unless you make a special project of mapping checkpoints along the entire border, you have to guess at the location of places where temporary vehicle importation permits can be cancelled, and the guesses you make must be conservative unless you are willing to risk sixty miles or even more of out-of-the-way travel looking for a place to cancel a permit before you return to the US for good.
* Permits can be issued and returned at any frontier checkpoint facility that has a Banjercito module. (Banjercito--an acronym for Banco de Ejercito = "Army Bank"--is the designated agent for the financial component of temporary vehicle importation.) Sometimes this is right at the border (as at Ojinaga), and sometimes this is at the km 30 internal frontier checkpoint (as at Nogales and Juárez). Guidebooks (e.g. the AAA Mexico TourBook) state vaguely that "some major" crossings have Banjercito modules right at the border; they never state the precise locations of Banjercito modules in the vicinity of any crossing. It has been my impression in general that Banjercito modules are fairly footloose, since they tend to be housed in prefab buildings (Portakabins and the like) rather than being integrated into the permanent checkpoint structures. What all this means is that you can't count on redundancy in Banjercito module provision in the vicinity of any border crossing. Therefore, if you intend to return to the US permanently and choose to pass a km 30 module without stopping, you are gambling that there will be a module right at the border that you can use. I rolled the dice this way in the Juárez vicinity when I was returning from my first Mexico trip in 2002, and came up snake eyes--I wanted to return my permit at Santa Teresa but found no module there and had to backtrack to the Juárez km 30 checkpoint.