The gob.mx site has lots of references to bring your papers, get a police report etc. yet it does not say where we get this info.
I have deduced that it does require an appointment and I found something on a gob website that said that only 20 naturalization appointments a day are scheduled. I suspect that info as it was probably written for the Mexico city office and does not apply through all offices. I would prefer to show up for an appointment with as many forms already filled out as possible but finding out what those forms are and where to get them is difficult.