There are weapons everywhere over there and theres always an Iraqi who wants to make a quick buck. If you just have to have a certain kind of something while you're over there, its easy to make it happen. You don't want to be that guy who just happens to be that guy who gets his gear inspected by an underemployed E-9 who wants to make sure his joes have the right gear before they deploy and he finds that certain something in your kit bag and then you're fucked.
A friend of mine was at Talil AB right after the war started. One day while working the main gate he was approached by an Iraqi who wanted to sell him four Russian made F-1 hand grenades for $20. He thought it would be cool to take them and throw them off in the desert. His squad leader came by and told him not to even think about it. That said, if some hadji is selling grenades on the street, you should have no problems getting a good life insurance policy over there. Buy the policy, keep it well hidden from your squaddies and then when its time to go home sell it to another soldier for twice what you paid for it and go home worry free.