No, it's not against the law. It can be extremely dangerous if you don't know what you are doing. Fumes are built up in the tank and then someone comes along and uses a welding torch to cut open the tank and we "have lift-off."
The practice of do-it-yourself is highly frowned upon at the BBQ Forum and when someone comes along and says it can be done safely and explains how it tends to ruffle some feathers.
Treasurer, Great Lakes BBQAssociation
Rubbed, Smoked, and Sauced Competition BBQ Team-
22 1/2" WSM, 2 18 1/2" WSM's, 22 1/2" Weber Kettle