OK, first, Copper Canyon is on the "mainland". Baja is... well, Baja. Different area.
You MUST be insured. If not, and there is an accidente you will go to jail.
Mex operates under Napoleonic law which basically means guilty till proven innocent. Especially if you're a White NorteAmericano.
The Insurance kiosks at the border only sell liability Ins. If you want to insure your bike for theft in Mex. you need to buy that from a real Insurance guy ahead of time.
I use this service
and have been treated well. The GE Seguros Ins. that I had paid in full, on time (well, mex. time) for the GS I totalled down there last year.
Depending on how far south you want to go you will also need a tourist card. Those are available at the border for $26 IIRC.
Safety... You're in a third world foreign country. By all local standards you are fabulously wealthy. Behave accordingly. I carry a "drop" wallet with an expired D/L, and $40 U.S. My Real money I keep elsewhere.
Currently a passport OR a birth cert. will get you back into the states. I've never been asked to produce papers at the border on a bike. Only when traveling by air from Mex.
There has been some recent anti Gringo activity in Baja Norte. Google Baja message boards for more info.
That being said... I feel safer in Baja than I do in L.A.
As said above, don't ride after dark... ever. All of Baja is open range, also 80% of the accidents in Baja are alchohol related, most are after dark. Lots of drinking on weekend afternoons also. Be advised.
Besides that, Mex. ROCKS! Great folks great roads!
OBTW, Tope, or Reductor de Velocidad is a speed bump. You find them in every village you pass thru.
Curva Peligrosa means dangerous curve. You can judge how dangerous by the amount of skid marks at the apex...
Don't ever assume the pavement lasts farther than you can see!