I'm sure it is easy to not get caught, but yes, you are supposed to find the INM and get your FMME.
(Link deleted because the page has been replaced by something completely different.). INM is immigration, and the FMME is find the INM and get your FMME(see comments) sort of like a visa-on-entry.
In Nuevo Laredo, I don’t remember any signs telling us how to find the place, but our driver knew. Several turns and some distance, so really easy to evade. (Then again, they might be comparing license plate photos from the border with ones from the check-in place.)