Discussing about moral & law reasons serve no purpose I think. If it is not legal on your country, or if you really really trust your government (sounds stupid, anyway..) and you don't want to be anonymized, so do not change your IMEI. But not all ppl wants to change their devices' IMEI number are criminals Personally, I prefer to be anonymous. Not because I'm a criminal or a threat to anyone (Because I'll dominate the World. mwahaha--) just because I think I have rights to have a private life, with private information. And my mobile device -which bought by me. It was not free, or given as a gift by government- should not be a collar for me. But, like I said, It is matter of choice. I prefer to be anonymous, I LOVE being anonymous and I don't think It is reasonable to trust anyone (police,government, you name it) that much.

So, It's better to not discuss why to do it. Since I own this device, I think I have the right to customize or change any parts of it.

About how to do; I think it is not that important even if it's written on HW, It can be possible to emulate it on-the-fly. (like WiFi MAC address, which already mentioned)