[7kay]

The easiest way to leave the gray zone would be to get a ham radio license. Although this might vary from country to country, generally you are allowed to use selfbuilt transmitters in specific frequency ranges, which also includes noncertified hardware.

[plugger]

I'm not too sure about that. Having a HAM radio license would allow you to transmit on bands licensed for HAM usage. A lot of the stuff that people want SDRs for (especially for transmitting) lies outside of those bands.