The F student visa allows me to enter the US up to 30 days before the program starts. For starting to set up things it is of my interest to arrive sooner than that. How hard is it to travel there beforehand with a tourist visa (waiver) and leave to, say Mexico, to then re enter on a proper date within the 30 days with the student visa? This seems easier than requesting for a status change inside the US from tourist to student..
There are two problems with this plan.
First, in order to enter by air under the Visa Waiver Program, you need to hold a round-trip ticket, that will take you out of North America (that is, not just to Mexico or Canada) at the end of the supposed tourist trip. This is defined in 8 CFR 217.2(c)(1):
Applicants arriving by air and sea. Applicants must arrive on a carrier that is signatory to a Visa Waiver Pilot Program Agreement and at the time of arrival must have a round trip ticket that will transport the traveler out of the United States to any other foreign port or place as long as the trip does not terminate in contiguous territory or an adjacent island; except that the round trip ticket may transport the traveler to contiguous territory or an adjacent island, if the traveler is a resident of the country of destination.
There are conflicting anecdotal reports of how severely this is enforced in practice, but it seems to be clear that the airline would be entitled to deny you boarding towards the US if they haven't sold you such a ticket.
Second, in order to use the VWP at all (or to get an actual tourist visa), the purpose of your visit must be either tourism or business. Setting up things to live in the US during your studies is neither of that.
You would have to lie about your intentions to the border control officer, and given that your passport contains a soon-to-start student visa it is quite possible that he would be suspicious about your true intentions. If you're found to have lied in an entry interview, that could have pretty disasterous effects on your ability to enter the US subsequently (even with a visa already issued).
The only purpose that qualifies for the VWP is as a class B nonimmigrant, 8 USC 1101(a)(15)(B):
an alien (other than one coming for the purpose of study or of performing skilled or unskilled labor or as a representative of foreign press, radio, film, or other foreign information media coming to engage in such vocation) having a residence in a foreign country which he has no intention of abandoning and who is visiting the United States temporarily for business or temporarily for pleasure