Before we began selling supplements, I tried importing whey personally and it got held up by customs and sent back. Ended up losing all the shipping and paying a restocking fee.
Apparently, you cannot import milk products as I was advised by customs - whey protein is a milk derivative.
Personally, I don't believe it's worth the risk. I am not saying that because we sell it, but from crunching the numbers. You may save $5-10 on a bag (eg. optimum 100% 4.7kg) but:
1. You risk it being sent back and you losing your shipping cost (around $50-70 AUD)
2. You have to wait 1-2 weeks for it to arrive
On a personal level, I cannot justify the risk associated with the potential gains.