I've taken my NSX there serveral times. Puerto Nuevo isn't the best place to take it because you will have to drive on a rocky unpaved road near Puerto Nuevo. Drive down the scenic toll highway to Ensenada. It is beautiful drive because it is alongside the cliffs with many curves. If you stay on the toll highway you should be alright. If you have time go to La Bufadora in Ensenada. The road isn't the best condition for your NSX, but the view and site will certainly make up for it.
The only time I had problems is coming back across to the US side. US Customs always...always stop my car in the middle of the line and check it. I think they just want to get closer to the NSX :tongue:
I've been down in Rosarito and Ensenada about 4 times with my NSX.
I've seen many nice cars down there all the time BMW X5, BMV 7 series, Corvettes, Mercedes, etc. So all fear that you will be targeted because you drive a nice car is not as bad as people make it. You should always be on heightened alert when in a foriegn country to be safe.
It's true that you will need Mexican insurance from an authorized Mexican Insurance company. The Mexican authorities will not recognize US insurance even if you insurance says you are covered in Mexico, but Mexican police will alway recognize US $$$..aka bribe. It's at your risk if you decide to bypass the Mexican insurance, I do.
Good Luck.