All the players I've had from other countries, I have always asked them to mark the package as "gift, of no commerical value".
I also got them to change the value of the package to a much lower value. Usually USD$20-USD$30 instead.
NZ's law states anything more than $400 for electronic goods, it's tax free. I know this because I just rung them and asked a simple "if I want to import mp3 players into the country, how much do I have to pay in taxes?". Don't give out your name or details though
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