Where abouts are you from? Have you taken into account that you may get hit by import taxes when get the stuff back to your own county?
I'm no expert on this but I have heard of people having Inland Revenue calling on people to collect tax on the good they've brought back with them or had sent over.
I think the price in the UK is something like £18 before they tax you, iirc.
I've bought things like DVDs and games from the US before but nothing has been over the £18 mark, so I've yet to be taxed, thankfully.
Hopefully a more knowledgable forum member will be able to clarify whether I'm right to raise this concern.
You should be able to ship to a different address as long as it´s o.k. with your credit card company. Making it o.k. usually requires you to call your credit card company and add the new address as an authorized shipping address. If newegg doesn´t allow you to designate a different shipping address when you order online then try calling them to place the order, or use a different website (zipzoomfly, tigerdirect, etc)