HIDs in a housing/headlight that didn't originally come with them IS illegal.
Whether or not you get pulled over and ticketed though will vary. I currently have a 5,300k kit in my E36 M3 and have never had any issues with the cops about them, even when pulled over for other things.
The only time I've really heard people being hassled was if they had really blue/purple/pink HIDs. (8,000k +) But that's not to say even with a 4,300 - 5,300k kit you still wouldn't get ticketed, no matter if you have white looking HIDs or blue ones, it's illegal.