Forgot to add, as Miquel mentioned DO NOT, repeat DO NOT cross at Rosso.... Looking back it was an experience (a bit dogdy at that) but if you dont want to waste a whole day waiting, paying bribes etc go to Diama....
Actually, one of the best things we did was cross a border in the middle of nowhere from The Gambia back in to Senegal. There was a guy alseep in a room and we had to tell him what papers to give us. 200 Dalasi, a couple of ciggerettes and a laugh and we were on our way!
Point being, the smaller the border the better!