I think by now if it were illegal or against casino policy we would all be FULLY aware of it by now. I don't think the casino owns them once you buy them. I'm pretty sure the chips become your property once you make the purchase.
This isn't true of tournament chips though. At the WSOP, the receipt says on it that the chips are the property of the casino and removing them is considered theft of casino property that may result in banning.
My harvesting experience is limited to the Flamingo and Bally's, so take this for what it's worth.
At Bally's:
I bought into the $1-$3 game for $300, which was the max buy in. At Bally's, you buy your chips from the floor. The rack contained all red chips other than a barrel of whites. When I asked for an additional rack of whites, the floor refused to sell them to me, stating that was 'against policy' and that they only sell enough whites needed to run the game. When I politely asked why, he told me they don't want people taking the chips to the rooms and gambling there. When I told him I just wanted to take them home with me, he smiled but still wouldn't sell me the extra rack.
The next day there was a different floor guy... so I asked him. I got the same answer.
So I harvested the old fashioned way, one at a time while I played.
On the last day in Vegas, there was a floor lady who I hadn't seen prior. I bought into the game like usual and while smiling and using her name I once again asked for some extra whites.
"Sure no problem! How many do you want?" She replied pleasantly.
"How about $60?" I needed about 50 more to fill out 2 racks for the trip.
She did what I asked her to do and I slipped her a $10 bill for her trouble.
At Flamingo:
At Flamingo you also buy your chips from the floor. When I bought into the game, I casually asked if she possibly had any mint uncirculated red chips I could buy in order to take home. She no but they might have some at the cage.
My mission was to acquire $250 worth of $5s. I successfully did so simply by playing one session. Luckily I ran good in the game and every time I dragged a pot there were a few keepers. The trickiest part was keeping them separated as I accumulated them so I wouldn't inadvertently bet them
When I cashed out, I simply slipped the chips I was hoarding into my pockets and cashed in the rest.
During the game after playing for a bit I got up and went to the cage. I flashed my diamond status Caesars Rewards card and said the following:
"Hi [insert name]: My name's Mike and [insert poker floor lady's name] from the poker room sent me over here. I have kind of a weird request if you have a second to help me out with something. I'm trying to get some mint uncirculated red chips for a friend. Do you happen to have any I could buy from you?"
"Sure I can check in the back for you. How many are you looking for?"
"50 would be great if you have them," I replied enthusiastically.
"50?" She asked incredulously.
I smiled and nodded.
She disappeared and was gone for a good 2-3 minutes. I overheard her asking someone else about them so I know she legit tried. Unfortunately she came back empty handed and told me they didn't have any new ones. I thanked her for checking and gave her a tip.