I have just had a little look at the laws regarding this (in the UK) and its all a bit fuzzy actually. The RSPCA say that live feeding is a cruelty issue, and they have some 'interesting' powers but dont know where you would stand in legal terms.
Im sure lots of people feed live and there has to be a balance when the reptile wont take dead, not providing them appropriate food would also be a cruelty issue! I suppose as long as you dont video it and put it up on youtube (theres lots :roll: ) theres no reason for anyone else to know.