Do I have to get a divorce from my wife in Mexico if we were married by church and I am in the US?

Short version, no. The "marriage" goes wherever either of you goes, so right now either of you could file an action for divorce - you where you live, and she where she lives. Jurisdiction over the "incidents" of the marriage beyond status - property, custody, alimony, etc., is a different question - the divorce page of our web site, and the extended discussion of these questions in the article titled "The Basics of Family Law Jurisdiction" which is posted there.