Our luggage was tagged straight through to HUX, we did not pick it up or clear Customs in Mexico City. When you arrive in MEX you'll be in terminal one, you'll go downstairs to Immigration - get into the 'Foreigners' line - and have your passport and tourist card ready.
When you leave Immigration, instead of going to the baggage carousels you'll take an escalator back up to the second level - watch for the sign that says Connections - Passengers in Transit. It's a long hallway and moving sidewalk to the next check point, show your boarding passes and then through another Immigration and security checkpoint. You'll need to show your stamped tourist card and have your carry on items scanned.
Once that's done you are in the domestic terminal and you wait around for your gate to be called - usually no more than 40 minutes prior to your flight. Yesterday they called our gate - and then changed it to the opposite end of the terminal. It was an easy fast walk back to the right gate. We even left on time and landed on time in HUX - something that is not that typical :)
When you land in HUX go to the International gate at the airport, there are only two, it's the furthest one away. Most people will go to the domestic gate but you will have to clear Customs with your luggage. Last night there were only 4 of us waiting for luggage in the International gate - everyone else was domestic.
I hope that helps - if anyone has questions let me know...