It's fine. You'd have to be going to some really sketchy areas before you need to worry. Mexico is one of the most exciting places I've ever been. I like to get the local experience when I go to other countries, and when we were in Mexico we asked the cab driver one night to take us to his favorite place to get tacos. We went just outside the touristy area and slammed on the best tacos I've ever had.
Trust your instincts and don't be an idiot.