I would suggest you contact an Immigration Attorney and meet with them in person. There is more to this situation then solely the information you have provided. In order to provide you with reliable information and advise you of potential options, in attorney would need to ask some questions about your and your fiance's past, both criminal and immigration.
It depends on how long your boyfriend was in the US illegally. If it was more than 180 days, he can't come back for 3 years, and if it was for more than 1 year, he can't com back for more than 10 years. If either of these is the case, then you should marry him in Mexico and he should apply for a green card and a waiver of the 3 year or 10 year in Ciudad Juarez based on hardship to you.
If he was here illegally less than 6 months, then whether you do the fiance visa is up to you - I could give you more details about the timing if you call me.