I've seen people searched leaving PUJ, and almost got searched myself but the porter got it through, (my wife was walking a bit behind, and it looked like I had four bags just for me, he told the customs guy it was for two people). It's definitely best to pay the guys a few bucks to carry your stuff through, far less chance of being checked, and it's good to support the local workers.
Are you seriously "tipping" people to not have your bags checked upon leaving the country?