I actually wonder about the economics of this.
One would need to create all kinds of new laws, regulations, and enforcement agencies.. none of which would be particularily cheap.
We (the United States) already have one, it's called the ATF. I'm not sure about our Mexican cousins, however.
On a sidenote, Wikipedia states that the US consumed about 300 tonnes of cocaine in 2010. This bust accounts for 2 days worth of cocain consumption in the US this year.