https://www.gov.uk/join-family-in-uk/overview
Link above is what you need.
The steps involved would be as follows :
1. Apply for a Fiance visa (no work permitted on this visa) valid for 6 months.
2. Once married, apply for a spouse visa in the UK on form FLR(M) (no need to return to Mexico for this app). You will need to meet the financial requirement of £18,600pa and she will need to meet English Level A1 (might be needed for Fiance visa too). Initial spouse visa (FLR(M)) will be granted for 2.5 years. She will be permitted to work on this visa.
https://www.gov.uk/remain-in-uk-family/overview
3. Shortly before her spouse visa expires, she applies for an extension on FLR(M) again for a further 2.5 years, meeting both the English and financial requirement again.
4. No sooner than 28 days before the expiry of this second visa, she can apply for indefinite leave to remain (ILR), either in person or postal. English Level B1 and Life in the UK test will be needed for this step and you will need to meet the financial requirement again. Joint incomes can be used.
5. Once she has been granted ILR, she can apply for British Citizenship immediately as the spouse of a British Citizen.
There is a fee involved for each step, which increases annually in April.
All of the above is based on the rules as they stand at the present time.
permission to marry visa
This is a marriage visa. She won't be able to switch in country to the spouse visa and would have to return to Mexico to make her application there. Even though the fiance visa is more expensive, when you take costs of back and forth travel into account, it is all relative.