Kudos for planning to convert your currency to the local currency! Foreign currencies are widely accepted in the tourist areas and resorts, but it’s just more courteous to use the local currency for tipping, and of course smarter from a purchasing perspective.

You can exchange at any of the places you mentioned, plus at the street cambios (exchanges) and banks here in town. The best exchange rate is had by using an ATM.

Questions - How long are you in Mexico? Are you staying on a resort, or do you expect to go off-resort for shopping, sightseeing, etc?
If staying longer, do you have a checking/debit account? If so does your bank charge a foreign transaction fee? And does your bank remove all ATM transaction fees?