Advice on how to continue when you're stuck

Hello all, I would like to know if anyone has any tips about how to continue
when you're stuck. My specific situation is that I was able to find records
back to 1856 for one of my family lines, others lines have ended sooner. On
my fathers side I'm going to have to actually go to Jalisco and see if I can
find some records. The names I'm looking for there are for a Jose Quintero
and Carlota Del Rio parents of Salvador and Juan Quintero. I guess my real
question is how can you trace a family member that may have immigrated to
Mexico? I'm starting to wonder if I should stop looking at marriage,
baptismal and birth records and start looking at immigration records. And
does anyone know where I can go for Mexican immigration records?

Thanks!
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America Calleros