Allen,
Hopefully I can help (shed) a little light on this problem for you. Yes, it is illegal to enter the United States with antlers from Mexico unless they have a documented and valid sport hunting tag attached. You can tag a set of sheds if you wish to burn a hunting tag, but you must have a tag on them none the less.
The only way to get around this law is with a USFWS Import?Export permit and in the case of Nogales you would also need a port exception permit which allows you to cross at a border crossing other than the normal ones used for wildlife importation, such as New York, Los Angeles, etc. I have both of these permits as we need them in our importation of hunter taken trophy's in the event that we must bring them back into the United States without the hunter with us.
In regard to importing sheds and skulls with antlers, even with these permits, the person who is exporting them from Mexico, must be licensed by SEMARNAP (Mexican Fish and Wildlife) to do so. The only ones I know of who are licensed by SEMARNAP to do this are companies who export antler chandaliers (spelling?).
Crossing the border with shed antlers or skulls with antlers and not tagged is a clear violation of the Lacy Act, and is a felony under US law. Yes, I also know people who have sheds and skulls from Mexico that they brought up here with no problems, but I for one don't care to have this kind of problem over some discarded bone!!!! And if I had some, I sure wouldn't be jumping at the opportunity to brag about it, as you never know who's watching this or any other site.
Hopefully this helps. May not be what we would like to hear, but that the way it works.
Kirk Kelso