It depends on what exactly you mean by illegal roleplay. It could be gang roleplay, it could be mob roleplay, or mafia roleplay, there are many things to do. If you are talking about gangs, I'd just approach ICly with a younger character in his early or mid-teens and just roleplay with the faction, you don't have to involve yourself much for the start, it's cool if you just observe and get a feeling for the faction's roleplay and so on, if you feel comfortable enough to roleplay, this is your time to shine and to stand out as a local, you can develop and do whatever young gang-affiliated teenagers gotta do to survive. I'm sadly not experienced enough in mafia or mob roleplay but I assume the best way to get in touch with them is to hang around their businesses and their known spots, work your way through people, and get recognized ICly, but as I said, I'm not an expert regarding organized crime.
I hope I was able to help you in any way, don't hesitate to ask if you got any questions.