Mexico is as safe if not safer than any major city in the United States.

Puerto Peñasco is not a border community;  it is a local and fast becoming an international tourist destination here in the southwest.

We have been traveling to Rocky Point a lot in the past two years and have successfully slept in our sleeping bag on the beach out in the open without any worries. Never once have we encountered a situation that put others or ourselves at risk (other than the mechanical bull at Ice House). 

Here is some reading material on safety and travel to Mexico and Puerto Peñasco.

Positive Weekend in Puerto Penasco
Safety of drive from Phoenix to Puerto Penasco
The Elusive Truth About Mexico
Beaches of Puerto Penasco
Puerto Penasco (Wikipedia)
Puerto Penasco (Wiki Travel)