To enter Mexicali by road or sea, you are not required to show your passport. However, when you are going back home, you need to present it.
If you take a flight, you need to fill up the Forma Migratoria Múltiple (FMM) form. This is the tourist’s permit at the airport. The Immigration office at the airport will stamp both your passport and the FMM form.
Keep your passport and the Visitor Permit safe during your trip. This is to avoid any issues on your way back home.