I have been going to Range War for the last 18 years, it is one of the best shoots in the US.
There is no problem crossing the border, just make sure that you get your paper work in order.
You will need a form 6 (a temporary alien importation permit) it is available on the ATF website.
Make sure you list all the guns you wish to take, and list all the ammunition that you are bringing.
If you need 200 rounds put at least twice that amount on your form. Give your self at least 6 weeks to get your permit. You will also need an invitation to any shoot that you attend. Also when you get to the border it is your responsibility to inform the border guards that you have firearms.