The shippers should easily be able to specify "hold for pick up" at a specific locale of the shipping agency. You then go in and present your passport and receive your package.
Think carefully about shipping a chain. Chains are very heavy compared to a set of sprockets and the bill will reflect that. All chains can be sourced fairly easily in Mexico. I would buy the chain locally and just get the sprockets shipped.
Careful how you ship, FedEx are nortorious for extra fees, same for UPS.
DHL is expensive but very good in Latin America. Also, the brokering will usually be done by the shipping company unless you do your own brokering.
This is hit or miss, sometimes the package will arrive pretty much duty free but other times the duty and taxes can be excessive. Expect delays if it is coming through the post.
If you are heading to Guatemala, check and see if your model of bike was sold there. Strangely enough, some things are cheaper there than here in Mexico and duty, taxes, etc... are different. How much life do you have left in the sprockets? The chain can be bought almost anywhere, but the sprockets will be the interesting part.