Yes, removing a cat is illegal in most areas, as they are federally mandated emissions equipment. In AZ, I believe you have to have an emission check anyway, and you would most likely fail without cats.
When you say "planning on getting a DP and RP with my stock cat"...that's not really possible. There are 2 cats on the car. One is a part of the stock DP and the other is a part of the stock midpipe (the piece the RP would replace).
If you want to stay 100% legal, you have a couple of options:
1) replace the cat-back section of your exhaust. This won't free up much power, as that piece is pretty free-flowing from the factory. It will give you a nice improvement in sound, however.
2) Look into aftermarket downpipe units that offer "high flow" cats. This should still keep your emissions around the legal limit (I'm not sure though...I live in MI and have no cats and no emissions testing)
Or, if you want to go the sneaky route, you can always just keep your stock pieces on hand and switch them back when you need to have an emissions test done. Just hope you don't get pulled over by a cop who knows what to look for, I guess.