I will be moving to Mexico in the next few weeks and have had an iPhone with AT&T here in the US. Will this phone work in MX? What do I need to do to make it work? Maybe somebody has gone through this before?
No. Mainly because it is locked to AT&T. The only thing you could really do is jailbreak and unlock it. Even that I have no idea if Mexico has the appropriate GSM bands for the iPhone.
Regardless of your provider of choice in Mexico, your AT&T iPhone will not work on said provider until you jailbreak and unlock the device as BuddhistGirafe said. I believe that Mexico uses GSM ( like most the world ), and I think a few Mexico carriers even sell the iPhone.