I live near the border in Canada and often have items shipped to a transhipper in the US close to my house. I bought a bike recently (from a private seller on pinkbike) and walked over to pick it up and carried it over. I declared the value and paid the 5% GST but the customs officer told me I should have just built the bike up and ridden it across. I just had a copy of the emails where we agreed on a price.
I have a Nexus card and am not really interested in putting it at risk for a small tax I don't mind paying.