If you are buying official releases from Japan, yes it is illegal. Is it morally wrong? Thats something you have to answer yourself. Like a few people said, the RIAA-esque bureau for Japan really doesnt really prosecute cases unless its something really extreme like selling bootlegs or something to that effect. Although publishers have started using new copy protection methods to keep CDs from being burnt, etc. they can all be easily broken if you know what the hell you're doing. I think they do understand however that a minor portion of their market is international sales outside Japan but its more of a niche thing than anything else. In short, yes it is illegal. Will you get in trouble if you get caught? I highly doubt it. You won't have the real RIAA sending you a lawsuit.