There are plenty of people that have gotten caught and it's a hefty fine. I've seen between $2500-10000. But most of them have been in California or other states with tight emissions enforcement. The few I've heard of outside of that were driving like idiots rolling coal all over the place and got caught.
That being said, I say do it. Unless you live in Cali, the chances are pretty slim. There are tons of guys that run it and have no issues. I deleted mine within a month of having it. These trucks are amazing tuned.
Good luck with your decision and don't have too much fun once you decide to get one. (you know you want to!)