Talking from "A LOT" of personal experience. Almost all my gear has been bought in the US during business travels.
The easiest way to shop is through the Internet. Two things to be careful here: not all web sites accept credit cards from out of the country, this is probably related to the millions of frauds performed this way. And do not try international shipping, this is very expensive and also the local taxes in your country can kill you. Once I end up paying the equivalent of 80$ in taxes on a shipment for a 100$ item.
Having some friend receiving your stuff and transport it to you, as you have already planned, is the best idea. As you originally thought toss the packaging and report it in your country customs as personal items, depending on the value this could avoid taxes, though could be illegal, so use your common sense.
And do not be worried about the X-ray scan in American airports, I bough knives, flashlights and several other goodies every time I go to the US and transport in with the checked luggage with out a single problem ever. Just be sure that you are not violating any law in your country with specific blade lengths or configurations.
Good luck, and welcome to the global shopping spree....!!!
Saludos