If it gets inspected in customs it will most likely get sent back. I've purchased "illegal" knives overseas and gotten them through customs, but it is no guarantee.
EDIT - And just to clarify, the knives are legal in my state to own for "collector/curious" purposes, but not legal to carry or actually use. The term "illegal" is a loose one, because it depends on where the item is going and who is going to get it, etc.