They are undocumented and they are scattered throughout the entire US. It's not like you're picking up Montana and moving it across the Mexican border.
Just my opinion on this issue, which takes both humanity and the burden caused by immigrants into consideration.
1. Secure the borders. Before we do ANYTHING else, this needs to be done. Period.
2. Give all illegal immigrants a 2 year period to come forward and work towards becoming legal citizens.
3. After the 2 year period, as Gunnyl said, deport them as you catch them (not that he's implying that we wait two years).
When we talk about immigration we tend to forget that these are people. We should be fair in at least giving them the opportunity to come forward with the lingering threat of deportation.