Walking across the Brazilian border

After making my way up the Argentine/Uruguay coast, I'm going to walk across the Brazilian border at Chuy (Chui). I can't find anything that says that it's unsafe, except that I should be prepared to be dropped by the side of the road in the middle of nowhere, without an exit stamp and have to walk for about 3 kms where I'll find the immigration people to be on strike (apparently they love a good strike), and also to save some Uruguayan pesos for the tax free shopping before crossing.....