As far as I know there is no law against it. This has been discussed quite a bit here, and people believe strongly on both sides of the issue. The problem is, when a shooting happens, it will be examined very closely by the courts. In some cases there will be a prosecutor who doesn't like guns, and he may bring up the reload issue to make the shooter look like somebody who "tried to concoct the deadliest bullets he could". Is it BS? Absolutely, but it has happened.
Where this is more prevalent is the civil arena. An attorney out for a monetary settlement will bring it up ad nauseum. The fact there is no law against it doesn't matter, you will still have to defend yourself against these scurrilous accusations, and that may bankrupt you. For me, the risks arent worth what I would save over factory ammo costs. You may have a different opinion and that's fine.
If you want further information from someone who has seen this firsthand, check out the writings of Massad Ayoob. He has written on this extensively and testified about it in many civil and criminal cases.