I've read a lot about cross border deliveries. Usually you want to arrive at the border around 2:00-3:00 am to minimize any unwanted attention. Flash your lights twice, and keep the car running. When you see the single flash of lights in return, you know the deal is still on. Ignore the men with guns (they're there for your protection as well as their own), and drop the money in the back of the car that flashed you earlier. They'll load the return wares in your car, at which point you drive like hell to get away from the border.
It helps if your car has a discrete compartment like this.
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