A guy doing side-work when he has a job is fine(assuming he’s insured), but a guy stealing work from his employer is shady. You’ll probably be fine and save a few dollars, but it’s not really a cool thing to do.

I’m in a different line of work and what I do is heavily marked up so I often have clients try to make an end-run around my employer and hire me directly but I always refuse. I do plenty of side work but only what comes to me first, never my employer’s clients.