^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
1992 BMW 325i (CHUMPCAR #296 - build in progress)
1992 3.0L M52 325i (ex-daily driver - track car only)
2002 330Ci (ex-daily driver - sold!)
Check out my e36 track car build