If the freight is provided by the vendor, then it is not taxable. However, to the extent that frieght is included in the total price of the sell and passed on to the buyer, it is.
From a recent revenue ruling on this issue:
The term "gross receipts" is defined in Section 7-9-3(F) NMSA 1978 to include the total amount of money or the value of other consideration received from selling property in New Mexico. This includes all freight charges incurred by the seller and passed on to the buyer, but does not include freight charges the buyer pays directly to the carrier. See Regulations 3 NMAC 220.127.116.11 and 18.104.22.168