^What Chris said.
There is nothing illegal about it, as long as you declare all your purchases at the border. You'll have to pay HST and depending on where the parts were manufactured, duty. What you will save on is brokerage fees and shipping charges.
The past few summers i've gone down almost every second week to pick up parts, and I've never had any problems (since i always declare).
Make sure that on your packages you include your name. I usually write UPS Store c/o Shawn Bernier