Yes, you can remove the orange lense in your headlights. No legal issues. As for other states, I am not sure, but in VA, you need to have amber front turn signals, so you would just need to put in amber or orange bulbs.
If you are going to go through the trouble of removing the lense in your headlights though, I would recommend putting in the silver coated bulbs that light up orange when engaged. You can find them all over the place to buy these days. I personally think it makes it look a lot smoother. Or, you can always replace with an amber LED cluster bulb. They are clear until they light up and they react much faster than filiment bulbs.
Anyway, I may be doing this mod to my highlander sometime int he next few months, so I will take pictures and put together a write up for the rest of you. Hope that helps.