If you don't know anyone, you can research who lives there, whom you'd like to meet. Reach out this week for some advice about what to do while in New Mexico and ask if there are any industry events/holiday parties happening. If you feel you've built the foundation for a relationship, you can ask if he/she will be in town and you can offer to take him/her to lunch.
You can also call the film commission to see if anything will be filming while you are there and perhaps drop by for a set visit, if it's appropriate.
It would be great to mix in a little business, but don't get down on yourself if it doesn't work out. It is the holiday season and people are busy with family. You can still contact people after your visit to discuss what an amazing vacation you had.
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