RORY: How did you get them [bootleg albums] past customs?
LANE: Well, I strapped them to my body like in Midnight Express.
Midnight Express, previously discussed as a film that Lorelai and Rory had seen; apparently Lane watched it with them at least once. In the film, Billy Hayes is caught while trying to smuggle hashish out of Turkey, with the drugs strapped to his body.
That Billy’s plan didn’t work and he was sent to prison doesn’t seem to have deterred Lane. She’s almost certainly joking, as it doesn’t seem to be particularly difficult to get bootleg albums through US customs. It seems to be one of those things that are technically illegal, but rarely enforced.