my only scare is duty if I get stopped.
I've bought bits from Hong Kong and Taiwan and they've got through fine, it's stuff from the US I've been caught for VAT and duty on.
As for noticing the weight, yes you will! My light MTB race wheels are 1,200g (Tune Prince/Princess, DT Aerolights, Alex XCR-Pro) and they are noticably better on the climbs than my other 1,450g race wheels (Chris Kings, DT Revs, Stans Alpines). Huge difference in peformance. Unfortunately the seals on the Tune hubs are pi$$ poor and I daren't take them out in the wet any more, 3 freewheels in two years! The Kings seem pretty much indestrucable.