I usually do a lot of research on the forums when I am traveling, but somehow I missed this issue. We went to Mazatlan for a short 4 night stay in January, and we flew through Mexico City from Dallas as there was no direct flights with the package I bought. We had no idea that we needed to re-check our luggage in Mexico City. If someone said it, it must have been in Spanish. When we checked in at the airport in Dallas with Air Mexico, it seems like that would have been a good time to tell us. Because we did not know this, our luggage did not make it to Mazatlan. We had to go back to the airport to fill out forms, and then when the luggage finally arrived late the next day, we had to take another taxi ride back to pick it up.
While our trip was not ruined, it did put a damper on it and cost us some extra money. Be sure not to make our same mistake.