Well if your gonna overclock it your gonna void your warranty... simple as that. While it is still possible to mail it back to EU etailer and simply whistle and look innocent, its kinda mean. If they warranty if important to you by all means get it somewhere where you can get warranty.
The chances of getting caught by customs are... well incredibly low. If it werent for ways of getting around customs then ebay simply wouldnt exist. Get your friend to gift wrap the cpu and explain it as being something slightly different to what it is if he is questioned and he can get away with it. Also, quoting the price of the lower model would put it under the allowance for imports. I recently got a second hand gfx card and the guy mailing was clever enough to makr it as an "FM Modulator" and as a gift so it went though untouched.
It is a risk, you would probably sleep easier if you just bought it here with the support and all... but a lot of people here do import cpu's from the US every other day and have no problems. Personally i would just buy here unless the saving was going to big.
as a friend of mine is going there next week for work ,and can get hold of Core 2 Duo CPU'S E6600 2.40G for £166.00 plus save on postage 