Haven't been in Mexico City lately but spent a lot of time there a few years ago, so can give you some advice.
Pick up Tiempo Libre -- weekly entertainment magazine around 15 pesos at almost any newsstand on the street or Sandborns or whatever -- it has info on the last few pages. The newspaper with the most ads is El Universal. Many ads have internet addresses from which you can get photos, but those are the most expensive ones. Actually I just found it online:
eluniversal.com.mx --> Go to aviso oportuno/varios --> then under bien o servicio pick adultos, and you've got four categories: encuentros, masajes, acompaniemento, otros.
Prostitution is legal and you'll find a number of houses advertised in El Universal and other places, from maybe 150 pesos up to 2000 or even more. Don't go to the cheapest -- not dangerous but kind of raunchy -- but in the 400 range or so may be fine. For those who aren't in Mexico, divide by ten to get about the price in USD.
Watch out a bit for the strip clubs. They can be expensive, they'll try to sell you a lot of drinks which might be 200 pesos each. The waitors sometimes overcount the drinks, and they won't let you out until you pay. Some of the girls there might go home with you, and some have sex in the strip club. It just depends a lot. But as far as safety goes, the Zona Rosa is safe late at night or into the early morning, lot of people always around. There's a strip club in south of the city along Insurgentes, near San Angel, called Caligula that I wanted to try out but never got to.
Check out the swingers clubs in Tiempo Libre. One of them, Sara and Antonio something I'm pretty sure, in the north of the city, allows single guys on some nights like Tuesdays. Go early because they do limit the ratio -- a good thing -- but a lot of couple go those nights because it's free for them. Also you can get a girl and go. Many in the ads won't, but a few will. Occasional ads specifically say they'll go. Try Club SW de Pedro Lopez, it's the best. Couples only there.
Can't think of anything more right now.
But I had a question. May be in Sao Paulo and was interested in swingers clubs there. Any idea where would be a good place to hire a girl who would go with me?