Once you have them saved, they can be embedded in Excel, Word or Powerpoint, with Excel being the easiest IMHO.  Just google "embedding shockwave in excel (your version here)" and you'll find a ton of walkthroughs.

The Illegality of it is if you go hacking into a server to get the .swf files, but as everyone else said, the websites you visit install their files on your computer.  If they don't want you putting them in an Excel file to play them offline, then they oughtta develop a way to host their content without shoving their files onto your hard drive

The purpose of doing all this is to

1) be able to play them offline

OR

2) gives you the ability to "bypass" corporate or school internet no games filters by embedding the object in excel, linking it to the webpage, and e-mailing the Excel file to your friends.