Last time I was in New York (last December), I bought a couple of guitars, 4 or 5 effects pedals and 40 sets of strings.
I put the effect pedals and strings in my hand luggage. When I got to the security scanning section at the airport, I simply took the pedals and boxes of strings out of my small carry case so the scanner guys could see what the items were. In JFK and Heathrow, the security guys simply said "you've obviously done this before?". No hassles whatsoever