What is it like crossing the border in Paraguay?

I didn't have any problems- I actually never crossed the border or renewed my visa. I went to talk with migraciones and they told me it's cheaper to just pay the fine upon leaving the country rather than do the legal thing and renew it every few months. (I couldn't go to the border and do it as I worked, and you have to be out of the country for at least 3 days according to some border guards now - it all depends on luck it seems, someone has previously posted on their experience with this.)

I was really nervous but I did have on my side that I was pregnant, so legally, I guess they couldn't force me to leave the country as that would be taking the baby away from his father. Turns out it was never a problem anyway- In a year and a half of living in Paraguay, this was never a problem. That includes having traveled to Ciudad del Este (you show your passport to the bus company), having been stopped while with my husband (he had to show his ID, I did not), having the city bus stopped for routine control (a few random men were chosen to show their IDs), and even getting married, giving birth, and doing all sorts of paperwork for my son, husband, and self while there. I was one step away from getting my permanent residency actually when we moved to the US - having entered on a tourist visa which was a year and 3 months expired by then! It did mean I had to do some round about steps... basically if I came across someone who told me I needed to renew it, the next person I asked would never even bring it up. Paraguay is like that a lot with paperwork, where it depends a lot on the person you are dealing with. (For example, here in the US the Miami consulate is very straight-forward and helpful, whereas the NY one is awful. I spent a lot of time and money to get certain documents "legalizado" through them, as the state I live in is unfortunately under the NY zone. And of course they never refunded the extra money they told me to pay "just in case" it cost more than they could approximate, despite the receipt stating total costs of a good $25 less. Grrr.)

Anyways, my point with all of this is- you might want to consider just letting your visa expire. Sounds terrible but with the way bribes work in Paraguay, I doubt it would be a problem for you, unless you plan on traveling often. If you do, by all means, keep up your visa by leaving once every 3 months, but remember, you might have to be out of the country for 3 days - it all depends on the border guard - and if you don't plan on that, you might have to "solve the problem" by paying a bribe anyways.

If you decide to keep it legal by doing the paperwork to renew or extend the visa in Asuncion, be prepared to have to go to several different buildings, wait around a lot, go back in the afternoon or possibly the next day, and also that people will often tell you different steps or not be as knowledgeable as they should. Very frustrating! But do-able.

No, they won't deny you because of the residence issue. It is scary wording that really doesn't mean anything. Just say you are going to Paraguay for tourism and worry about adjusting it once you're in the country. There's no other way to do it really.

So to clarify, upon entering with my non-residente visa (it will be my first visa- not a renewal) do I tell the border that I am completing my permanent residence or tell them I am just visiting?

One more thing, when I arrive is it necessary to have a return ticket? Will they deny me if I don't have a return ticket?

In all the times I've visited PY over the past 12 years, I've never been questioned by immigration upon entrance or exit. Of course I had proper the proper visa and a passport.  And that's all they really look for.  They are pretty laid back to be polite.

Melusine's post is spot on in terms of advice.  Not many have her experience level.

I can't answer exactly these questions for americans.
Me, as a European, just travelled to here, with our dog, with a passport, and papers prepared, to become a resident here.
When you are just on a visit, you can buy property, without a problem, like a motorbike, car, or even a house, or piece of land.
When you buy a house in the city, and worth is enough, they will accept it as warranty, that you have possibilities, or on the countryside, enough land.
So, I guess for Americans, it will quietly the same.
As the reisdent proces don't start at the border ( it's mere a prove when you entered ) it's just from the moment on, you start the registration process, which, when your paperwork is good prepared, will take some three month, untill receiving your official permanent residence, and even the Paraguayan ID-card.
The proces is quiet forward, and can be done alone(5-8 days), preferably when you speak Spanish, and better have a gps, with a local map. You want it done slick and fast, three/four days, then hire a professional ( cost between 800€ and some 1500$ - prices I've seen)and then wait on the proces to terminate. ( You will have to return about twice, to get your foto taken )
These better ones even will help you showing you around, and help to import your goods, furniture, when they come in a container )
But mind the sharks
If the process doesn't terminate in three months, you have to get a renewal stamp.

Hope this answers a bit?