that should work, but if you want to play it safe, walk over to the border agents before you cross and get their ok first.
there's not much to do in harlingen...baloo's? other than that, head east or west. food wise, you can do alot worse than harlingen. el pato, longhorn (maybe this is actually san benny?), capital city burger, etc are some that haven't been mentioned...and i agree with several above.