IANAL, but I have dealt with some software legalities before in the past. It is not criminally illegal, but rather that you, as the end user, have broken a contract (which, by the way, in many jurisdictions is not able to be upheld in a court of law) and that the terms of the contract are null and void. The difference is that any penalties, if brought to court, would be civil, not criminal, unless you are party to violating DMCA. It is also the responsibility of the aggrieved party to pursue justice, not the state, since this is a civil matter, not criminal. That is the way it works in the USA, at least.
Apple can sue you for damages for loss of business, or at the very least a cease and desist order, but if your intention is to make use of the software personally and you do not plan to resell or mass distribute the software, then the amount of business they have lost is fairly small and very few judges or juries would find merit in "throwing the book" at any given individual. Chasing after such small fries would be prohibitively expensive and result in very upset potential customers and a very busy legal department. In the end, Apple is better off spending that money making it more difficult to install OS X on non-Apple hardware than they are trying to pursue legal redress. Besides, if you buy a legal copy, you are at least in good stead for remunerating the company which wrote (most of) the software for their work.
As it is now, Apple is banking on the fact that anyone who pursues this endeavor will have a difficult time both in getting the software to run and in maintaining it, thus limiting this endeavor to a niche in a fringe community (PC enthusiasts who want to just about anything run on a toaster, etc.). If you do follow this route and build a computer for your own personal use (both for business or pleasure) then chances are extremely good that you will be well under the radar for Apple to pursue you for EULA violation, since that agreement is there mostly for large institutional violators who are looking at honing in on some of Apple's market without paying their due share (i.e., Psystar).