First, I disagree with your assessment that it is better to carry an unloaded gun concealed than a loaded gun openly. The "bad guy will shoot you first" theory is 100% theory that nobody has ever been ever been able to present an example that has happened in real life. Police officers and security personnel wearing uniforms are normally presented saying, "SEE! These guys open carry and they were shot first!" but I would argue that they were shot because of their uniforms and the perceived ability of those persons to aprehend and/or arrest the criminal rather than only their handguns. There are no examples of Joe Citizen being caught in the convenience store or bank robbery and being shot first.
Also, if you are attacked while concealing an unloaded firearm, exactly what do you hope to do? Ask the attacker to please wait while you retrieve your firearm from concealment and load it?
I am currently researching New Mexico law for you, which you could do just as easily as posting on this forum:
http://mobilepublic.nmcompcomm.us/nmpublic/gateway.dll?f=templates&fn=default.htm
I can't find anything in New Mexico statute or jury instructions that defines loaded or unloaded. The standard definition of unloaded means that no ammunition is present anywhere in the gun. Some states go beyond that, to specifically define loaded as any ammunition NEAR the gun.
This is confirmed by:
http://www.handgunlaw.us/states/newmexico.pdf
Here is your New Mexico statute:
Given this:
http://www.opencarry.org/?page_id=278
my personal choice would be to carry a firearm that was in a mode ready to be used immediately to defend myself with, rather than in a mode where not only would I have to retrieve it from concealment, but I would also have to prepare it for use, meanwhile a criminal is threatening to imminently end my life or the life of another victim.