I had the exact same questions over an year ago when I had never participated in illegal role-play before. I was actually quite keen on trying the illegal side after role-playing legal for years, I just didn't know how to let the ship sail. Luckily, I had a friend role-playing on the illegal side in a Russian Mafia. I talked to him and looked up their faction, researched a bit about it, and then eventually started hanging around at their bar to ICly build connections. There were some fuck ups from my side, with me being lost at times, having no idea what to do, but trust me these slip ups only make you better. I eventually settled in and learned the ins and outs of illegal role-play.
Illegal role-play is fantastic. You just need research and a strong foundation for your character. Role-playing an average Joe who dives deeper and deeper into the illegal world wouldn't hurt, but there sure will be times that will kick you in the butt or make you find yourself in a difficult spot. Therefore, it's important to know what you're doing. If you put your hand into something you don't know about, that'll come back to haunt you. Don't just go for any faction with an average character who doesn't have much thought or effort put into their background. Look up factions, see what interests you, and research about that particular kind of faction. Then build a character with a background befitting the type of faction you're interested in.
That's where you can start your IC journey. Building connections ICly, hanging around with those people, and eventually settling in. You'll probably need someone to hold your hand through the ropes and I'm sure there will be people willing to guide you and help you fit in if you're interested in a specific faction.
It was a great step from your side to post this. You'd never progress if you keep things to yourself and not ask around. I hope what I've mentioned above helps you. Best of luck.