They would obviously prefer it if you bought the parts from them.
If it's for personal use, not many people will know, and TLG probably don't want to spend much time (and money) on it, if they find out.
If you want to make money, you also have to be aware that TLG still has some patents and other rights (I don't knw for sure, but I think it's mostly around the minifig and design of sets). Kreo and Mega Bloks can do what they do, because they navigate that field and only sell stuff that is not covered by any of those rights.
If you want to exhibit any of your creations you should also think about what the organisers/groups behind the events you're thinking of exhibiting at thinks of it.